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Keywords: Traditional CAPM
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Journal Articles
Journal:
Managerial Finance
Managerial Finance (2005) 31 (12): 46–57.
Published: 01 December 2005
...Michael E. Drew; Tony Naughton; Madhu Veeraragavan In this article we compare the performance of the traditional CAPM with the multi factor model of Fama and French (1996) for equities listed in the Shanghai Stock Exchange. We also investigate the explanatory power of idiosyncratic volatility...
