Evaluating multi-beta pricing modelsan empirical analysis with spanish market data
ISSN: 1697-9761
Year of publication: 2004
Issue: 2
Pages: 80-107
Type: Article
More publications in: Revista de economía financiera
Abstract
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