关于CAPM的10篇经典paper

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Fama, E. (1996) Multifactor Portfolio Efficiency and Multifactor Asset  Pricing,                           Journal of Financial & QuantitativeAnalysis, 31, p 441-465.

Fama, E. & K. R. French (1992) The Cross-Section of Expected Stock Returns,
Journal of Finance, 47, p427-465.

Fama, E. & K. R. French (1995) Size and Book-to-Market Factors in Earnings and Returns,     Journal of Finance, 50, p131-155. Journal of Finance, 49, p1579-1593.

Fama, E. & K. R. French (1996) Multifactor Explanations of Asset Pricing Anomalies,         Journal of Finance, 51, p55-84.

Fama, E. & K. R. French (1996) The CAPM is wanted: Dead or Alive,                            Journal of Finance, 51, p1947-1958.

Roll, R. & S. A. Ross (1994) On the Cross-sectional Relation Between Expected Returns and Betas, Journal of Finance, 49, p101 - 121

The Capital Asset Pricing Model (CAPM), Short-Sale Restrictions and Related Issues
Stephen A. RossThe Journal of Finance, Vol. 32, No. 1 (Mar., 1977), pp. 177-183

Comments: Capital Asset Pricing in a General Equilibrium Framework
Stephen A. RossThe Journal of Financial and Quantitative Analysis, Vol. 13, No. 4,

Proceedings of Thirteenth Annual Conference of the Western Finance Association,
June 20-26, 1978 (Nov., 1978), pp. 625-626

Bad Beta, Good Beta
Author(s): John Y. Campbell and Tuomo Vuolteenaho
Source: The American Economic Review, Vol. 94, No. 5 (Dec., 2004), pp. 1249-1275   

Asset Pricing with Conditioning Information: A New Test
Author(s): Kevin Q. Wang
Source: The Journal of Finance, Vol. 58, No. 1 (Feb., 2003), pp. 161-196

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关于CAPM的10篇经典paper
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关键词：经典PAPER CAPM APE APM cap 经典 CAPM Paper

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