Showing 1 - 4 of 4
Persistent link: https://www.econbiz.de/10012254485
Persistent link: https://www.econbiz.de/10011914779
Persistent link: https://www.econbiz.de/10012254490
Expected returns, variances, betas, and alphas are all non-linear functions of the investment horizon. This seems to be a fatal conceptual problem for the capital asset pricing model (CAPM), which assumes a unique common horizon for all investors. We show that under the standard assumptions, the...
Persistent link: https://www.econbiz.de/10014497444