1997-12-01Buch
Semiparametric Modelling of the Cross-Section of Expected Returns in the German Stock Market
Stehle, Richard; Bunke, Olaf; Sommerfeld, Volker
According to the Sharpe-Lintner capital asset pricing model, expected rates of return on individual stocks differ only because of their different levels of non-diversifiable risk (beta). However, Fama/French (1992) show ...