摘要 : When the cost of hedging is nil, the conditional capital asset pricing model (CAPM) holds. We empirically test the conditional CAPM by regressing asset returns onto the product of their conditional betas and market returns. Estima... 展开
作者 | Michael Hasler Charles Martineau |
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期刊名称 | 《Management science: Journal of the Institute of Management Sciences》 |
总页数 | 21 |
语种/中图分类号 | 英语 / C93 |
关键词 | capital asset pricing model asset pricing tests |
馆藏号 | N2008EPST0011324 |