CHONG, TERENCE TAI-LEUNG; MAK, WING HEI; YAN, ISABEL … - In: Annals of Financial Economics (AFE) 08 (2013) 01, pp. 1350001-1
The classical capital asset pricing model postulates a linear relationship between stock returns and stock risks. However, a number of subsequent empirical studies have revealed some anomalies in this relationship, especially for firms with small size and high book-to-market values. A possible...