A Review of Capital Asset Pricing Models
22 Pages Posted: 5 Oct 2004
Date Written: March 2004
Abstract
This paper provides a review of the main features of asset pricing models. The review includes single-factor and multi-factor models, extended forms of the Capital Asset Pricing Model (CAPM) with higher-order co-moments and asset pricing models conditional on time varying volatility models.
Keywords: Asset pricing, CAPM, single-factor models, multi-factor models
JEL Classification: G11, G12
Suggested Citation: Suggested Citation
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