Some extensions of the CAPM for individual assets
(2016)
Journal Article
Vendrame, V., Tucker, J., & Guermat, C. (2016). Some extensions of the CAPM for individual assets. International Review of Financial Analysis, 44, 78-85. https://doi.org/10.1016/j.irfa.2016.01.010
© 2016 Elsevier Inc. There is ample evidence that stock returns exhibit non-normal distributions with high skewness and excess kurtosis. Experimental evidence has shown that investors like positive skewness, dislike extreme losses and show high level... Read More about Some extensions of the CAPM for individual assets.