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    A robustness test of asset pricing models using individual security returns

    Access Status
    Fulltext not available
    Authors
    Limkriangkrai, M.
    Durand, Robert
    Watson, I.
    Date
    2009
    Type
    Journal Article
    
    Metadata
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    Citation
    Limkriangkrai, M. and Durand, R. and Watson, I. 2009. A robustness test of asset pricing models using individual security returns. Applied Economics Letters. 16: pp. 629-637.
    Source Title
    Applied Economics Letters
    Additional URLs
    http://web.ebscohost.com/ehost/pdfviewer/pdfviewer?sid=1e6634f3-c36f-415e-98ac-aa82261669da%40sessionmgr14&vid=2&hid=10
    ISSN
    13504851
    URI
    http://hdl.handle.net/20.500.11937/4309
    Collection
    • Curtin Research Publications
    Abstract

    Tests of asset-pricing models typically form portfolios of stocks (based oncriteria such as market capitalization and book-to-market values). Thevalidity of this approach has been debated (see, for example, Berk, 2000).We consider a simple method of testing asset-pricing models using thereturns of individual securities and illustrate the approach in a test of therobustness of analyses reported by Durand et al. (2006) and Limkriangkraiet al. (2008).

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