Authors
Yakov Amihud, Bent Jesper Christensen, Haim Mendelson
Publication date
1992/11
Volume
11
Publisher
Graduate School of Business, Stanford University
Description
Recent tests of the capital asset pricing model by Fama and French (1992) showed that there is no significant relationship between the average return and systematic risk of corn-mon stocks. We propose two econometric methods to improve the efficiency of the estimation and provide more powerful test statistics: joint pooled cross-section and time-series estimation and generalized least squares. Using these techniques, we find a highly significant relationship between average portfolio returns and systematic risk.,
Total citations
Scholar articles
Y Amihud, BJ Christensen, H Mendelson - 1992