STAT244.Lecture.04 5

STAT244.Lecture.04 5 - P E ratios/size play a role Higher...

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Some comments: I CAPM is a Single-Period model I Empirical Tests focus on : (a) Intercepts are zero (b) Beta captures completely excess returns variation (c) Markt risk premium, E ( Z m ) > 0. I Anomalies: (a) Firm characteristics increase the predictive power;
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Unformatted text preview: P / E ratios/size play a role. Higher book to market ratio has higher return. (b) Portfolio consisting of recent losers has higher average return than CAPM (c) Data snooping bias?...
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