Style anomalies on the Toronto Stock Exchange : a univariate, multivariate, style timing and portfolio sorting analysis
Includes bibliographical references. === A growing body of empirical evidence has found inconsistencies in the Capital Asset-pricing Model (CAPM) of Sharpe (1964), Lintner (1965), and Black (1972) and Ross's (1976) Arbitrage Pricing Theory (APT). Numerous attempts to explore the validity of the...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2014
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| Online Access: | http://hdl.handle.net/11427/10429 |