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Volumn 54, Issue 2, 1999, Pages 773-789

On the cross-sectional relation between expected returns, betas, and size

(1)  Grauer, Robert R a  

a NONE

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0040629435     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/0022-1082.00125     Document Type: Article
Times cited : (9)

References (17)
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  • 2
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  • 3
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  • 4
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  • 5
    • 0001833551 scopus 로고
    • The capital asset pricing model: Some empirical evidence
    • Michael C. Jensen, ed.: Praeger Publishers, New York, N.Y.
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    • (1972) Studies in the Theory of Capital Markets
    • Black, F.1    Jensen, M.C.2    Scholes, M.3
  • 6
    • 84944830007 scopus 로고
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    • Blume, Marshall E., and Irwin Friend, 1973, A new look at the capital asset pricing model, Journal of Finance 28, 19-33.
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    • Blume, M.E.1    Friend, I.2
  • 7
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    • Efficient capital markets: II
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    • Fama, E.F.1
  • 8
    • 84977737676 scopus 로고
    • The cross-section of expected returns
    • Fama, Eugene F., and Kenneth R. French, 1992, The cross-section of expected returns, Journal of Finance 47, 427-465.
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    • Fama, E.F.1    French, K.R.2
  • 9
    • 0000928969 scopus 로고
    • Risk, return and equilibrium: Empirical tests
    • Fama, Eugene F., and James MacBeth, 1973, Risk, return and equilibrium: Empirical tests, Journal of Political Economy 81, 607-636.
    • (1973) Journal of Political Economy , vol.81 , pp. 607-636
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  • 10
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  • 11
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  • 12
    • 34248494199 scopus 로고
    • Misspecification of capital asset pricing: Empirical anomalies based on earnings' yields and market values
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  • 13
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    • A critique of asset pricing theory's tests; part 1: On past and potential testability of the theory
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  • 14
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  • 16
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  • 17
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