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Testing asset pricing models using market expectations

Drienko, Jozef


We investigate the use of market-based expectations to test the CAPM and the conditional CAPM using a generalised method of moments framework. This method is valid under much weaker distributional assumptions and provides the procedure with robustness that commonly employed tests lack. Expected returns are derived from projected price levels of individual securities that are supplied in the form of twelve{u00AD}month consensus (median) target price forecasts. The annual forecasts, updated each...[Show more]

CollectionsOpen Access Theses
Date published: 2013
Type: Thesis (PhD)
DOI: 10.25911/5d5e7802cd92e
Access Rights: Open Access


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