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- W3121152201 abstract "The capital asset pricing model predicts positive correlation between the expected return on a share and its systematic risk or beta. A number of papers in which some variant on average realized holding period return is used as a proxy for expected returns finds no significant correlation between the variables. These results cast doubt on the fundamental theorem of finance, that investors price risk. This paper uses a better estimate of expected return, and the data provides strong evidence that investors price risk. In addition the relation between beta and other risk variables is clarified." @default.
- W3121152201 created "2021-02-01" @default.
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- W3121152201 date "2000-05-25" @default.
- W3121152201 modified "2023-09-25" @default.
- W3121152201 title "The Pricing of Risk in Common Shares" @default.
- W3121152201 hasPublicationYear "2000" @default.
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