publication . Thesis . Other literature type . 2017

Generalised method of moments tests of mean-variance efficiency of the Australian equity market

Lau, Silvana;
  • Published: 30 Nov 2017
For many years the Capital Asset Pricing Model (CAPM) developed by Sharpe (1964) and Lintner (1965) was the primary asset pricing model of financial theory. Over time, persistent criticism regarding the strict assumptions underlying the model resulted in numerous extensions of the model. Each extension involved relaxing one or more of the underlying assumptions. Unfortunately, empirical tests of these extensions have not proven to be ultimately superior. Early tests of the CAPM faced many problems ranging from fundamental conceptual problems to practical econometric problems. Some of these problems were overcome when Roll (1977) delivered his damaging critique a...
free text keywords: Uncategorized, Capital assets pricing model, Investment analysis, Investments, Econometric models
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Other literature type . 2017
Provider: Datacite
Thesis . 2017
Provider: FigShare
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