References
- Banz , R . 1981 . The relation between return and market value of common stocks . Journal of Financial Economics , 9 : 3 – 18 .
- Black , F . 1972 . Capital market equilibrium with restricted borrowing . Journal of Business , 45 : 444 – 55 .
- Black , F . 1993 . Beta and return . Journal of Portfolio Management , 20 : 8 – 18 .
- Black , F , Jensen , MC and Scholes , M . 1972 . “ The capital asset pricing model: some empirical tests ” . In Studies in the Theory of Capital Markets , Edited by: Jensen , MC . 79 – 121 . New York : Praeger .
- Blume , M and Friend , I . 1973 . A new look at the capital asset pricing model . Journal of Finance , 28 : 19 – 34 .
- Carhart , M . 1997 . On persistence in mutual fund performance . Journal of Finance , 52 : 57 – 82 .
- Faff , R . 2001 . A multivariate test of a dual-beta CAPM: Australian evidence . The Financial Review , 36 : 157 – 74 .
- Fama , E and French , K . 1992 . The cross-section of expected stock returns . Journal of Finance , 47 : 427 – 65 .
- Fama , E and French , K . 1993 . Common risk factors in the returns on stocks and bonds . Journal of Financial Economics , 33 : 3 – 56 .
- Fama , E and French , K . 1996 . Multifactor explanations of asset pricing anomalies . Journal of Finance , 51 : 55 – 84 .
- Fama , E and French , K . 1998 . Value versus growth: the international evidence . Journal of Finance , 53 : 1975 – 99 .
- Fama , E and MacBeth , J . 1973 . Risk, return and equilibrium: empirical test . Journal of Financial Economics , 1 : 32 – 46 .
- Grinold , R . 1993 . Is beta dead again? . Financial Analysts Journal , 49 : 28 – 34 .
- Grundy , B and Malkiel , B . 1996 . Reports of beta's death have been greatly exaggerated . Journal of Portfolio Management , 22 : 36 – 44 .
- Lintner , J . 1965 . The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets . Review of Economics and Statistics , 47 : 13 – 37 .
- Markowitz , H . 1952 . Portfolio selection . Journal of Finance , 7 : 77 – 91 .
- Markowitz , H . 1959 . Portfolio Selection , New Haven : Yale University Press .
- Pettengill , GN , Sundaram , S and Mathur , I . 1995 . The conditional relation between beta and returns . Journal of Financial and Quantitative Analysis , 30 : 101 – 16 .
- Roll , R . 1977 . A critique of the asset pricing theory's tests . Journal of Financial Economics , 4 : 129 – 76 .
- Sharpe , WF . 1964 . Capital asset prices: a theory of market equilibrium under conditions of risk . Journal of Finance , 19 : 425 – 42 .