Evaluating multi-beta pricing modelsan empirical analysis with spanish market data
ISSN: 1697-9761
Ano de publicación: 2004
Número: 2
Páxinas: 80-107
Tipo: Artigo
Outras publicacións en: Revista de economía financiera
Resumo
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