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- W2113488188 abstract "Abstract This paper offers an alternative method for estimating expected returns. The proposed reward beta approach performs well empirically and is based on asset pricing theory. The empirical section compares this approach with the capital asset pricing model (CAPM) and the Fama–French three‐factor model. In out‐of‐sample testing, both the CAPM and the three‐factor model are rejected. In contrast, the reward beta approach easily passes the same test. In robustness checks, the reward beta approach consistently outperforms both the CAPM and the three‐factor model." @default.
- W2113488188 created "2016-06-24" @default.
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- W2113488188 date "2007-02-27" @default.
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- W2113488188 title "Extending the capital asset pricing model: the reward beta approach" @default.
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- W2113488188 doi "https://doi.org/10.1111/j.1467-629x.2007.00202.x" @default.
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