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Market Beta Matters

https://doi.org/10.2139/ssrn.6217189
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/0304-405x(77)90009-5openalex-snapshot
A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory
inferredcites →https://doi.org/10.1016/0304-405x(93)90023-5openalex-snapshot
Common risk factors in the returns on stocks and bonds
inferredcites →https://doi.org/10.1016/0304-4076(90)90095-bopenalex-snapshot
Intertemporal asset pricing
inferredcites →https://doi.org/10.1016/j.jfineco.2012.05.011openalex-snapshot
Size, value, and momentum in international stock returns
inferredcites →https://doi.org/10.1016/j.jfineco.2014.10.010openalex-snapshot
A five-factor asset pricing model
inferredcites →https://doi.org/10.1016/j.jfineco.2018.02.012openalex-snapshot
Choosing factors
inferredcites →https://doi.org/10.1016/s1386-4181(98)00005-6openalex-snapshot
The alpha factor asset pricing model: A parable
inferredcites →https://doi.org/10.1086/260061openalex-snapshot
Risk, Return, and Equilibrium: Empirical Tests
inferredcites →https://doi.org/10.1093/restud/rdad013openalex-snapshot
The Lost Capital Asset Pricing Model
inferredcites →https://doi.org/10.1093/rfs/hhaa020openalex-snapshot
Factors That Fit the Time Series and Cross-Section of Stock Returns
inferredcites →https://doi.org/10.1093/rfs/hhp119openalex-snapshot
The Market Portfolio May Be Mean/Variance Efficient After All
inferredcites →https://doi.org/10.1093/rfs/hhu068openalex-snapshot
Digesting Anomalies: An Investment Approach
inferredcites →https://doi.org/10.1093/rfs/hhv131openalex-snapshot
Estimating Security Betas Using Prior Information Based on Firm Fundamentals
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb04702.xopenalex-snapshot
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb05233.xopenalex-snapshot
The CAPM is Wanted, Dead or Alive
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03808.xopenalex-snapshot
On Persistence in Mutual Fund Performance
inferredcites →https://doi.org/10.1257/0895330042162430openalex-snapshot
The Capital Asset Pricing Model: Theory and Evidence
inferredcites →https://doi.org/10.1287/mnsc.2016.2536openalex-snapshot
Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns
inferredcites →https://doi.org/10.2307/1910098openalex-snapshot
Equilibrium in a Capital Asset Market
inferredcites →https://doi.org/10.2307/1913625openalex-snapshot
A Test of the Efficiency of a Given Portfolio
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