A Note on the Interpretation of Cross-Sectional Evidence Against the Beta-Expected Return Relationship
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منابع مشابه
On the Insignificant Cross-Sectional Risk-Return Relationship
In their paper, “On the Cross-sectional Relation between Expected Returns and Betas”, Roll and Ross (1994) demonstrated that the expected returns and betas can have zero relationship even when the underlying market portfolio proxies are nearby the efficient frontier. In this note, we provide the mathematical details that lead to their conclusion and further show that their claim needs not hold ...
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