Capital Asset Pricing Model with Frictions: Application to the Tunisian Stock Market
For many decades, asset-pricing theory was constructed on absence of frictions hypothesis. However, since pioneers’ works of Chen et al. (1975) and Amihud and Mendelson (1986) in microstructure area, systematic violations of this assumption were observed and the standard CAPM generates biased estima...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2014-09-01
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| Series: | International Journal of Economics and Financial Issues |
| Subjects: | |
| Online Access: | https://dergipark.org.tr/tr/pub/ijefi/issue/31963/352036?publisher=http-www-cag-edu-tr-ilhan-ozturk |