Guo, Hui (contributor) - 2003 - [Elektronische Ressource], rev
the capital asset pricing
model (CAPM) developed by Sharpe (1964) and Lintner (1965). In particular, there are three well … empirical
asset pricing models; others, however, attribute them to data mining or irrational pricing.
This paper attempts to … second case,
t
µ is a constant (
0t
µ µ= ) and the associated asset pricing equation is
(14) Er r
V
VV
tit ft
ii
im t hj …