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- W1537025439 abstract "This study refines the estimation of beta risk within the Capital Asset Pricing Model (CAPM) framework. Evidence is provided that the link between ex-ante risk and ex-post returns is strengthened by more accurately reflecting the formation of investor expectations. An adaptive expectations approach is employed as an estimation technique consistent with the behavioural patterns of investors. Finally, the study compares the capability of risk estimates from both the standard CAPM and adaptive expectation methods to account for future asset returns in Australia." @default.
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- W1537025439 date "2001-01-01" @default.
- W1537025439 modified "2023-09-27" @default.
- W1537025439 title "INVESTOR EXPECTATIONS AND SYSTEMATIC RISK" @default.
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