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Journal Articles
Modeling non-normality using multivariate t: implications for asset pricing
Available to Purchase
Journal:
China Finance Review International
China Finance Review International (2017) 7 (1): 2–32.
Published: 20 February 2017
.... Asset pricing α Cost of capital Normality t-Distribution C12 C13 G12 Ever since Fama (1965) , Affleck-Graves and McDonald (1989) , Richardson and Smith (1993) and Dufour et al. (2003) , among others, there is strong evidence that stock returns do...
