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

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  • Modigliani, Franco.
  • Pogue, G. A.

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Suggested Citation

  • Modigliani, Franco. & Pogue, G. A., 1973. "A test of the capital asset pricing model on European stock markets," Working papers 667-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    • Handle: RePEc:mit:sloanp:1871
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    File URL: http://hdl.handle.net/1721.1/1871
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    References listed on IDEAS

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    1. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    2. Sharpe, William F., 1967. "Portfolio Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 2(2), pages 76-84, June.
    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(2), 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.
    5. John Lintner, 1965. "Security Prices, Risk, And Maximal Gains From Diversification," Journal of Finance, American Finance Association, vol. 20(4), pages 587-615, December.
    6. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 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.
    2. MESTRE, Roman & Terraza, Michel, 2017. "Analyse Temps-fréquence du MEDAF –Application au CAC 40 – [Time-Frequency Analysis of CAPM- Application to the CAC 40-]," MPRA Paper 86272, University Library of Munich, Germany.

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    More about this item

    Keywords

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