Teplova, Tamara; Shutova, Evgeniya - In: Eurasian Economic Review 1 (2011) 2, pp. 157-178
The article presents an empirical validation for mean-variance CAPM, using a Downside and Higher-moment framework of CAPM in the Russian stock market. The authors test the unconditional and conditional CAPM specifications on a sample of weekly returns of the most liquid Russian stocks over the...