Systematic Risk Changes, Negative Realized Excess Returns and Time-Varying CAPM Beta
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Cited by:
- Pritpal Singh Bhullar & Pradeep K. Gupta, 2016. "Expected and realized stock returns: Evidence from India," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 6(11), pages 270-278, November.
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More about this item
Keywords
asset pricing; CAPM; beta; factor pricing models; three-factor model; market efficiency; Sweden; Scandinavia;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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