A two-pass model study of the CAPM: evidence from the UK stock market.
Citation
Hwang, T., Gao, S. S., & Owen, H. (2012). A two-pass model study of the CAPM: evidence from the UK stock market. Studies in economics and finance, 29, 89-104. https://doi.org/10.1108/10867371211229118
Authors
Keywords
Capital asset pricing model; excess return; Idiosyncratic risk; market model; portfolio diversification; risk-return relationship; two-pass regression; UK stock market; United Kingdom;
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