Please use this identifier to cite or link to this item: http://hdl.handle.net/123456789/21988
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dc.contributor.authorMensah, L.-
dc.date.accessioned2017-04-25T15:30:12Z-
dc.date.available2017-04-25T15:30:12Z-
dc.date.issued2014-
dc.identifier.urihttp://hdl.handle.net/123456789/21988-
dc.description.abstractWe used portfolio sorting and Fama-MacBeth cross-sectional regression approach to test the validity of the Capital Asset Pricing Model (CAPM) in the 19th century. The CAPM is not valid in the 19th century, but we caution not to discard the model completely. Since the high fluctuations in the times' series of the slopes (coefficient of the relationship between expected returns and beta) cover the capability to reach a solid conclusion concerning validity of the CAPM. Size (price time’s shares outstanding) effects exist on the 19th century, but it disappears when stocks are value weighted to form portfolios. Detail evidence reveals that size effect is contributed by small size group of stocks, which accounts for only 0.35% of the total market size.en_US
dc.language.isoenen_US
dc.publisherJournalof Finance and Bank Managementen_US
dc.relation.ispartofseries;Vol 3. No. 1-
dc.subjectAverage Stocken_US
dc.subjectRelationshipen_US
dc.titleSize, Beta, Average Stock Return Relationship, 19th century Evidenceen_US
dc.typeArticleen_US
Appears in Collections:Department of Banking and Finance

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