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A test of the capital asset pricing model on European stock markets

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Listed author(s):
  • Modigliani, Franco.
  • Pogue, G. A.

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File URL: http://hdl.handle.net/1721.1/1871
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Paper provided by Massachusetts Institute of Technology (MIT), Sloan School of Management in its series Working papers with number 667-73..

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Date of creation: 1973
Handle: RePEc:mit:sloanp:1871
Contact details of provider: Postal:
MASSACHUSETTS INSTITUTE OF TECHNOLOGY (MIT), SLOAN SCHOOL OF MANAGEMENT, 50 MEMORIAL DRIVE CAMBRIDGE MASSACHUSETTS 02142 USA

Phone: 617-253-2659
Web page: http://mitsloan.mit.edu/

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Order Information: Postal: MASSACHUSETTS INSTITUTE OF TECHNOLOGY (MIT), SLOAN SCHOOL OF MANAGEMENT, 50 MEMORIAL DRIVE CAMBRIDGE MASSACHUSETTS 02142 USA

Keywords: HD28 .M414 no.667-; 73; Capital assets pricing model;

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  1. Sharpe, William F., 1967. "Portfolio Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 2(02), pages 76-84, June.
  2. John Lintner, 1965. "Security Prices, Risk, And Maximal Gains From Diversification," Journal of Finance, American Finance Association, vol. 20(4), pages 587-615, December.
  3. Jacob, Nancy L., 1971. "The Measurement of Systematic Risk for Securities and Portfolios: Some Empirical Results," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(02), pages 815-833, March.
  4. Friend, Irwin & Blume, Marshall E, 1970. "Measurement of Portfolio Performance Under Uncertainty," American Economic Review, American Economic Association, vol. 60(4), pages 561-575, September.
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Cited by:

  1. Dusan Isakov, 1999. "Is beta still alive? Conclusive evidence from the Swiss stock market," The European Journal of Finance, Taylor & Francis Journals, vol. 5(3), pages 202-212.

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