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| Tekijä: | Rahman, S. Daniel, T. Lee, C.-H. |
| Otsikko: | Some tests of the risk-return relationship using alternative asset pricing models and observed expected returns |
| Lehti: | Review of Quantitative Finance and Accounting
1998 : JUL, VOL. 11:1, p. 69-92 |
| Asiasana: | TESTS RISK PRICING |
| Kieli: | eng |
| Tiivistelmä: | This study examines the performance of three asset pricing models: the CAPM, the APT and the UAPT using observed expected returns from a three-phase dividend discount model with Value Line analyst estimates of future company-level earnings, dividends and growth rates. The study is the first to test the three major asset pricing models using observed expected returns. The results are similar to prior research using ex post (realized) returns in that the UAPT using macroeconomic factors is the best performance model, followed by the APT and the CAPM. |
SCIMA