Rational asset pricing: book-to-market equity as a proxy for risk in utility stocks
<p>Previous research has shown that the asset pricing model of Sharpe, Litner and Black fails to capture the relationship between market β and average return. This previous work showed that the relationship between β and average return was flat. Subsequently it was shown that a strong relati...
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| Format: | Others |
| Language: | en |
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Virginia Tech
2014
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| Online Access: | http://hdl.handle.net/10919/46025 http://scholar.lib.vt.edu/theses/available/etd-11242009-020322/ |