Non-standardized form of CAPM and stock returns
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References listed on IDEAS
- Bengt Holmström, 2001. "LAPM: A Liquidity-Based Asset Pricing Model," Journal of Finance, American Finance Association, vol. 56(5), pages 1837-1867, October.
- Lamoureux, Christopher G & Lastrapes, William D, 1990. " Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects," Journal of Finance, American Finance Association, vol. 45(1), pages 221-229, March.
- Lau, Sheila C & Quay, Stuart R & Ramsey, Carl M, 1974. "The Tokyo Stock Exchange and the Capital Asset Pricing Model," Journal of Finance, American Finance Association, vol. 29(2), pages 507-514, May.
More about this item
KeywordsCAPM; Corporate Finance; Market Return;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- P34 - Economic Systems - - Socialist Institutions and Their Transitions - - - Finance
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-01-10 (All new papers)
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