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Beta 0.84 0.89 0.93 0.98 1.04 1.09 1.12 1.19 returns 0.45 0.62 0.8 0.99 1.16 1.45 1.48 1.72 Suppose I sort stocks into portfolios by
Beta | 0.84 | 0.89 | 0.93 | 0.98 | 1.04 | 1.09 | 1.12 | 1.19 |
returns | 0.45 | 0.62 | 0.8 | 0.99 | 1.16 | 1.45 | 1.48 | 1.72 |
Suppose I sort stocks into portfolios by their betas to detect any new return pattern and document the results in the below table. Is there any evidence suggesting a new anomaly (i.e. return pattern not explained by existing asset pricing models) with respect to the CAPM?
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