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fama_macbeth_tests_1973
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上传时间: 2018-12-21
详细说明： This paper tests the relationship between average return and risk for New York Stock Exchange common stocks. The theoretical basis of the tests is the "two-parameter" portfolio model and models of market equilibrium derived from the two-parameter portfolio model. We can- no! reject the hypothesis of these models that the pricing of common stocks reflects the attempts of risk-averse investors to hold portfolios that are "efficient" in terms of expected value and dispersion of return. Moreover, the observed &qu ot;fair game" properties of the coefficients and residuals of the risk-return regressions are consistent with an "efficient capital market1'-that is, a market where prices of securities fully reflect available information. ...展开详情收缩
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