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- W2182036390 abstract "In flnance, difierences among assets’ mean returns are often accounted for by difierences in betas in asset return regressions. We test whether betas difier statistically across assets in a multifactor asset pricing model, individually and jointly. We combine our tests with tests for zero intercepts and information from point beta estimates, and analyze why expected returns on portfolios of small and large flrms difiered prior to 1982 but not since. The disappearance of the difierence is due to difiering sensitivities to variables other than the market e.g. default premium or consumption growth." @default.
- W2182036390 created "2016-06-24" @default.
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- W2182036390 date "2004-01-01" @default.
- W2182036390 modified "2023-09-27" @default.
- W2182036390 title "Statistically Difiering Betas and Expected Returns to Portfolios of Small and Large Firms' Stocks" @default.
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