Black, Jensen, and Scholes (BJS) (1972) tested the CAPM using the market model. Why did they use
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Black, Jensen, and Scholes (BJS) (1972) tested the CAPM using the market model. Why did they use portfolios rather than individual stocks in their tests?
How were the portfolios formed for their tests? Write the t-test that they performed to test whether the αp for a portfolio was not equal to zero. What were the three main findings of their study? What did they conclude about the CAPM?
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Black Jensen and Scholes BJS 1972 tested the Capital Asset Pricing Model CAPM using the market model ...View the full answer
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Related Book For 
Investment Valuation And Asset Pricing Models And Methods
ISBN: 9783031167836
1st Edition
Authors: James W. Kolari, Seppo Pynnönen
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