Freeman, Mark C.; Guermat, Cherif - In: Journal of Business Finance & Accounting 33 (2006-09) 7-8, pp. 1213-1239
Several recent empirical tests of the Capital Asset Pricing Model have been based on the conditional relationship between betas and market returns. This paper shows that this method needs reconsideration. An adjusted version of this test is presented. It is then demonstrated that the adjusted...