Conflicting Effects of Market Volatility on the Power of Two-Pass OLS Test of the CAPM: A Simulation Analysis
<p>The study focuses on widely used CAPM test, the two-pass test. It is argued and shown by a simulation that power of the test does not continuously decrease when the standard deviation of market premium increases as existing literature reports. Rather it is peaked at the middle indicating th...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Faculty of Commerce & Manangement Studies, University of Kelaniya
2014-02-01
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| Series: | Kelaniya Journal of Management |
| Subjects: | |
| Online Access: | https://kjm.sljol.info/articles/6542 |