haku: @author Okunev, J. / yhteensä: 8
viite: 4 / 8
| Tekijä: | Okunev, J. |
| Otsikko: | Is the mean Gini capital asset pricing model testable? |
| Lehti: | Journal of Business Finance and Accounting
1992 : JAN, VOL. 19:2, p. 271-276 |
| Asiasana: | CAPITAL ASSET PRICING FINANCIAL MODELS RISK |
| Kieli: | eng |
| Tiivistelmä: | Since the introduction of the capital asset pricing model of Sharpe (1964) and Lintner (1965) there have been numerous alternative capital asset pricing models proposed. More recently, an alternative CAPM based upon Cini's mean difference as an alternative measure of risk has been proposed by Shalit and Yitzhaki (1984). Recent empirical evidence indicates that the mean Gini CAPM performs no better than the traditional MV CAPM (Okunev, 1989). This note presents a possible explanation to the poor empirical performance of the mean Gini CAPM. |
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