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

Author

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

Abstract

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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. Sharpe, William F., 1967. "Portfolio Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 2(2), pages 76-84, June.
    2. 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.
    3. 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.
    4. John Lintner, 1965. "Security Prices, Risk, And Maximal Gains From Diversification," Journal of Finance, American Finance Association, vol. 20(4), pages 587-615, December.
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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.

    More about this item

    Keywords

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

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