Hearn, Bruce - In: Applied Financial Economics 22 (2012) 9, pp. 681-707
This study contrasts the effectiveness of the Capital Asset Pricing Model (CAPM) against more recent augmented variants including size and book-to-market factors (Fama and French, 1993), liquidity (Liu, 2006) as well as both size and liquidity factors of Martinez <italic>et al</italic>. (2005) in explaining...