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Testing CAPM with Individual Stock Returns
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Capital Asset Pricing Model
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Erdinc Altay
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Erdinc Altay
Turkey

Testing CAPM with Individual Stock Returns

What is the difference between testing CAPM with portfolio excess returns and individual stocks excess returns? For examble how can we interpret if beta is insignificant (in the second stage of Fama & MacBeth test procedure) but it is significant when we test CAPM when we implement individual stock excess returns?

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Special Interest Group


More on Capital Asset Pricing Model
Summary Discussion Topics
topic Can Beta of a Stock be 0? And can Beta be Negative?
topic What is Beta? Explanation and a Few Remarks
topic Application of Capital Asset Pricing Model in Pakistan
topic Raw Beta vs Adjusted Beta
topic How to Use CAPM for Project Analysis?
topic Calculating Beta of Portfolio after Portfolio Change
topic Question - CAPM and Beta
topic CAPM is Irrelevant to Use
topic CAPM usage by Fund Managers
topic Why Sharp Increase in the Calculation for Betas
topic Are US Treasury Bills still Zero Beta?
topic Calculating Company Beta
topic CAPM Model and Calculating the Inflation Rate?
topic Concept of Marginality and CAPM
🔥 The Fama-French Three-Factor Model
👀Testing CAPM with Individual Stock Returns
Special Interest Group
Knowledge Center

Capital Asset Pricing Model


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