Erdos, Péter; Ormos, Mihály; Zibriczky, Dávid - In: Economic Modelling 28 (2011) 3, pp. 1150-1162
We find that the CAPM fails to explain the small firm effect even if its non-parametric form is used which allows time-varying risk and non-linearity in the pricing function. Furthermore, the linearity of the CAPM can be rejected, thus the widely used risk and performance measures, the beta and...