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Multivariate tests of the zero-beta CAPM · Study

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ArticleMultivariate tests of the zero-beta CAPM

Jay A. Shanken1985

Article1985

Multivariate tests of the zero-beta CAPM

436 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 436 citations exist upstream.

References

1973Risk, Return, and Equilibrium: Empirical Tests 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory 1983Size-related anomalies and stock return seasonality 1977Foundations of Finance.1982Multivariate tests of financial models 1982On the exclusion of assets from tests of the two-parameter model

Cited by

2000Resurrecting the (C)Capm: A Cross-Sectional Test When Risk Premia Wre Time-Varying 1994On the Cross-Sectional Relation between Expected Returns and Betas 2001The specification of conditional expectations 2005Fundamental Indexation 1988The empirical foundations of the arbitrage pricing theory 2016Which Alpha?2012Leverage Aversion and Risk Parity 2011Properties of implied cost of capital using analysts’ forecasts

Details

Year1985

Typearticle

Published1985-09-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations436

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.1016/0304-405x(85)90002-9

openalex_workW1963969817

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