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Risk-return relationship: An empirical study of different statistical methods for estimating the Capital Asset Pricing Models (CAPM) and the Fama-French model for large cap stocks
[article]
2015
arXiv
pre-print
The Capital Asset Pricing Model (CAPM) is one of the original models in explaining risk-return relationship in the financial market. However, when applying the CAPM into reality, it demonstrates a lot of shortcomings. While improving the performance of the model, many studies, on one hand, have attempted to apply different statistical methods to estimate the model, on the other hand, have added more predictors to the model. First, the thesis focuses on reviewing the CAPM and comparing popular
arXiv:1511.07101v1
fatcat:vcmhiywhqbhglojm25gmgnivy4