The explanatory power of the market model: an international comparison

The explanatory power of the market model: an international comparison

The various published studies of the market model and the capital asset pricing model are examined, with the objective of seeing if any pattern emerges in terms of its explanatory power (r 2 ), and the various circumstances specific to each study. Several factors are identified as being associated w...

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Veröffentlicht in:Applied economics 1987-12, Vol.19 (12), p.1625-1637
1. Verfasser: Parkinson, John M.
Format: Artikel
Sprache:eng
Schlagworte:
Capital assets
Capital markets
CAPM
Market theory
Mathematical models
Regression analysis
Return on investment
Security prices
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Beschreibung
Zusammenfassung:The various published studies of the market model and the capital asset pricing model are examined, with the objective of seeing if any pattern emerges in terms of its explanatory power (r 2 ), and the various circumstances specific to each study. Several factors are identified as being associated with high values of r 2 in these studies.
ISSN:0003-6846
1466-4283
DOI:10.1080/00036848700000087