【作者(必填)】R Roll

【文题(必填)】A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory

【年份(必填)】1977

【全文链接或数据库名称(选填)】A critique of the asset pricing theory's tests Part I: On past and potential testability of the theoryR Roll - Journal of financial economics, 1977 - Elsevier
Abstract Testing the two-parameter asset pricing theory is difficult (and currently infeasible).
Due to a mathematical equivalence between the individual return/'beta'linearity relation and
the market portfolio's mean-variance efficiency, any valid test presupposes complete ...
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