Is Beta Still Alive? Conclusive Evidence from the Swiss Stock market
This paper proposes an alternative approach to access the usefulness of betas and applies it to a representative sample of the Swiss stock market. The approach is based on a more pragmatic analysis of the implications of using realised, rather than expected returns and on the fact that the realised market excess return is volatile and often negative.
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|Date of creation:||1997|
|Contact details of provider:|| Postal: Suisse; Ecole des Hautes Etudes Commerciales, Universite de Geneve, faculte des SES. 102 Bb. Carl-Vogt CH - 1211 Geneve 4, Suisse|
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- Black, Fischer, 1972. "Capital Market Equilibrium with Restricted Borrowing," The Journal of Business, University of Chicago Press, vol. 45(3), pages 444-455, July.
- Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
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- Affleck-Graves, J. F. & Bradfield, D. J., 1993. "An examination of the power of Univariate tests of the CAPM: A simulation approach," Journal of Economics and Business, Elsevier, vol. 45(1), pages 17-33, February.
- Gibbons, Michael R & Ross, Stephen A & Shanken, Jay, 1989. "A Test of the Efficiency of a Given Portfolio," Econometrica, Econometric Society, vol. 57(5), pages 1121-1152, September.
- Jegadeesh, Narasimhan, 1992. "Does Market Risk Really Explain the Size Effect?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(03), pages 337-351, September.
- Ravi Jagannathan & Ellen R. McGrattan, 1995. "The CAPM debate," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 2-17.
- Pettengill, Glenn N. & Sundaram, Sridhar & Mathur, Ike, 1995. "The Conditional Relation between Beta and Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(01), pages 101-116, March.
- Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
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