A net beta test of asset pricing models
(2010)
Journal Article
Freeman, M. C., & Guermat, C. (2010). A net beta test of asset pricing models. International Review of Financial Analysis, 19(1), 1-9. https://doi.org/10.1016/j.irfa.2009.09.008
While many recent empirical studies of the CAPM have used conditional beta tests, this technique has recently been shown to have several weaknesses. Here we introduce a new, more robust, net beta test which shares a number of characteristics with con... Read More about A net beta test of asset pricing models.