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Persistent link: https://www.econbiz.de/10005523957
The UK stockmarket is tested for mean variance efficiency (MVE) in the sense that sectoral stock returns satisfy the restrictions implied by CAPM. There are two main innovations in the paper. One is the use of a model for excess returns in which the conditional covariance matrix of returns...
Persistent link: https://www.econbiz.de/10009457913