Original title:
Can beta-pricing models explain performance differences among assets?
Authors:
Scott, G. ; Zemčík, Petr Document type: Research reports
Year:
2003
Language:
eng Series:
CERGE-EI research seminar series. Abstract:
Differences among assets' holding period returns (and mean returns) can possibly be explained by differences in betas (slopes) in asset return regressions.
Keywords:
beta-pricing model; cross-equation restrictions; hypothesis test Project no.: KSK9058117 (CEP) Funding provider: GA AV ČR
Institution: Economics Institute AS ČR
(web)
Document availability information: Fulltext is available at the institute of the Academy of Sciences. Original record: http://hdl.handle.net/11104/0053556