search query: @author Eun, C. S. / total: 10
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| Author: | Eun, C. S. |
| Title: | The benchmark beta, CAPM, and pricing anomalies. |
| Journal: | Oxford Economic Papers
1994 : APR, VOL. 46:2, p. 330-343 |
| Index terms: | ASSETS PRICING |
| Language: | eng |
| Abstract: | Recognizing that a part of the unobservable market portfolio is certainly observable, the CAPM is first reformulated so that asset returns can be related to the "benchmark" beta computed against a set of observable assets as well as the "latent" beta computed against the remaining unobservable assets, and then show that when the pricing effect of the latent beta is ignored, assets would appear to be systematically mispriced even if the CAPM holds. |
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