Recent work by Richard Roll has challenged the worth of portfolio performance measures based on the capital asset pricing model. This paper demonstrates that Ro

The problem addressed in this dissertation research was the inability of the single-factor capital asset pricing model (CAPM) to identify relevant risk factors

Presents a selection of the most important articles in the field of financial econometrics. Starting with a review of the philosophical background, this collect

Our research indicated that there is a linear relationship between risk and return and higher risk is associated with higher average return. These results are c