Question
CAPM has two implications on cross-sectional returns: 1) Implication 1: In the CAPM, should stocks with higher betas have higher or lower average returns? 2)
CAPM has two implications on cross-sectional returns: 1) Implication 1: In the CAPM, should stocks with higher betas have higher or lower average returns? 2) Implication 2: After controlling for the market beta, what characteristics should explain average returns in the cross section in the CAPM? 3) Do these two predictions hold in the data?
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Financial Analysis With Microsoft Excel
Authors: Timothy R. Mayes
9th Edition
0357442059, 9780357442050
