Chapter 10. Empirical Evidence on Security Returns. Chapter Summary. Objective: To discuss the empirical evidence in support of equilibrium models. Tests of the Single Factor Model Tests of the Multifactor Model Other Studies. Overview of Investigation.
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Empirical Evidence on Security Returns
Tests of the expected return beta relationship
Factors identified by Chen, Roll and Ross in their 1986 study:
Is the CAPM or APT Model Valid?