CAPM over the long run: 1926-2001

Journal of Empirical Finance

Volumn 14, Issue 1, 2007, Pages 1-40

  Ang, Andrew ^a,b   Chen, Joseph ^c  

^a The Sanford C Bernstein Co Center for Leadership and Ethics   (United States)

^b NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

^c UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

Author keywords

Book to market effect; Conditional CAPM; Time varying beta; Value effect

Indexed keywords

EID: 33846351633     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2005.12.001     Document Type: Article

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