Graham, R. E.; Johnson, L. W.; Schnabel, J. - In: Australian Journal of Management 2 (1977) 2, pp. 191-194
Collinearity in the data set used by Ball, Brown and Officer, in their study of the asset pricing model in the Australian equity market, virtually guarantees the results that they obtain. This applies to their tests of the linearity of risk-return relationships and to their tests of the effects...