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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Authors/Creators:
  • Adcock, C.J.
  • Clark, E.A.
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

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