Evaluating multi-beta pricing modelsan empirical analysis with spanish market data

  1. Nieto Domenech, Belén
Revista:
Revista de economía financiera

ISSN: 1697-9761

Any de publicació: 2004

Número: 2

Pàgines: 80-107

Tipus: Article

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Altres publicacions en: Revista de economía financiera

Resum

Using Spanish stock market data running from January 1982 to December 1998, this paper examines competing models of price formation in security markets on the basis of the relationship between expected returns and different risk measures

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