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Beta lives - some statistical perspectives on the capital asset pricing model

Adcock, C.J. and Clark, E.A. (1999) Beta lives - some statistical perspectives on the capital asset pricing model. The European Journal of Finance, 5 (3). pp. 213-224. ISSN 1351-847X

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This note summarizes some technical issues relevant to the use of the idea of excess return in empirical modelling. We cover the case where the aim is to construct a measure of expected return on an asset and a model of the CAPM type is used. We review some of the problems and show examples where the basic CAPM may be used to develop other results which relate the expected returns on assets both to the expected return on the market and other factors.

Item Type: Article
Copyright, Publisher and Additional Information: © 1999 Taylor & Francis. This is an author produced version of a paper subsequently published in European Journal of Finance. Uploaded in accordance with the publisher's self-archiving policy.
Keywords: Arbitrage; Pricing; Theory; Arch; Models; Capital; Assett; Model; Cconditional; Distributions; Multi-Factor; Models; Non-Central; CHI-Squared
Institution: The University of Sheffield
Academic Units: The University of Sheffield > Faculty of Social Sciences (Sheffield) > Sheffield University Management School
Depositing User: Miss Anthea Tucker
Date Deposited: 21 Jun 2010 15:18
Last Modified: 08 Feb 2013 17:00
Published Version: http://dx.doi.org/10.1080/135184799337055
Status: Published
Publisher: Taylor & Francis
Identification Number: 10.1080/135184799337055
URI: http://eprints.whiterose.ac.uk/id/eprint/10946

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