Roll's critique
id:
roll-s-critique-261-5998812
title:
Roll's critique
text:
Roll's critique is a famous analysis of the validity of empirical tests of the capital asset pricing model (CAPM) by Richard Roll. It concerns methods to formally test the statement of the CAPM, the equation This equation relates an asset's expected return E to the asset's sensitivity β i m to the market portfolio return R m . The market return is defined as the wealth-weighted sum of all investment returns in the economy. Roll's critique makes two statements regarding the market portfolio: 1. M
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wiki
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encyclopedia
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original url:
https://en.wikipedia.org/wiki/Roll%27s_critique
date created:
date modified:
2024-03-17T23:02:45Z
main entity:
{"identifier":"Q7360844","url":"https://www.wikidata.org/entity/Q7360844"}
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13
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