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- W2004599078 abstract "Tests of asset-pricing models typically form portfolios of stocks (based on criteria such as market capitalization and book-to-market values). The validity of this approach has been debated (see, for example, Berk, 2000 Berk, J. B. 2000. Sorting out sorts. Journal of Finance, 55: 407–27. [Crossref], [Web of Science ®] , [Google Scholar]). We consider a simple method of testing asset-pricing models using the returns of individual securities and illustrate the approach in a test of the robustness of analyses reported by Durand et al. (2006 Durand, R. B., Limkriangkrai, M. and Smith, G. 2006. In America's thrall. The effect of the US market and US security characteristics on Australian stock returns. Accounting and Finance, 46: 577–604. [Crossref], [Web of Science ®] , [Google Scholar]) and Limkriangkrai et al. (2008 Limkriangkrai, M., Durand, R. and Watson, I. (2008) Is liquidity the missing link?, Accounting and Finance, forthcoming (downloaded from http://www.biz.uwa.edu.au/home/our_staff/staff_list/durand_robert (Accessed: January 2008). [Google Scholar])." @default.
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- W2004599078 date "2009-03-25" @default.
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- W2004599078 title "A robustness test of asset-pricing models using individual security returns" @default.
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- W2004599078 doi "https://doi.org/10.1080/17446540802277179" @default.
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