Linear Beta Pricing with Inefficient Benchmarks
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DOI: 10.1142/S2010139213500043
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Cited by:
- Diacogiannis, George & Ioannidis, Christos, 2022. "Linear beta pricing with efficient/inefficient benchmarks and short-selling restrictions," International Review of Financial Analysis, Elsevier, vol. 81(C).
- Syed Jawad Hussain Shahzad, 2015. "Multiscale Systematic Risk: Empirical Evidence from Pakistan," International Journal of Economics and Empirical Research (IJEER), The Economics and Social Development Organization (TESDO), vol. 3(12), pages 605-615, December.
- Thomas A. Severini, 2015. "A note on the effects of market inefficiency and portfolio constraints on the relationship between the expected return of an asset and the market," Economics and Business Letters, Oviedo University Press, vol. 4(4), pages 175-182.
- Shahzad, Syed Jawad Hussain & Zakaria, Muhammad & Raza, Naveed, 2014. "Sensitivity Analysis of CAPM Estimates: Data Frequency and Time Frame," MPRA Paper 60110, University Library of Munich, Germany.
- Syed Jawad Hussain Shahzad & Saniya Khalid & Saba Ameer, 2016. "CAPM estimates: Can data frequency and time period lend a hand?," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(02), pages 1-12, June.
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Keywords
Linear beta pricing; CAPM; expected returns; incomplete information; zero relation;All these keywords.
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