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Cournot oligopoly and systematic risk

Article Abstract:

The real determinants of systematic risk began receiving attention with the formulation of the capital asset pricing model. However, this single-firm model has been inconsistent with empirical observations. The Cournot model of oligopoly takes into account an oligopolistic environment while studying the real determinants of risk. The developed model demonstrates an inverse relation between market power and systematic risk when firms use the same production technology.

Author: Kit Pong Wong
Publisher: Elsevier B.V.
Publication Name: Journal of Economics and Business
Subject: Economics
ISSN: 0148-6195
Year: 1995
Risk (Economics), Oligopolies

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An examination of the power of univariate tests of the CAPM: a simulation approach

Article Abstract:

An analysis of the capital asset pricing model (CAPM) is presented. The analysis focuses on the validity of the model by applying the Fama-Macbeth methodology for testing the CAPM. These tests have concluded the invalidity of the model. However, it is shown that the predictivepower of the methodology is conditioned by the length of test period. Thus, theabsence of testing significance may be more a result of low statistical power than of CAPM invalidity.

Author: Affleck-Graves, J.F., Bradfield, D.J.
Publisher: Elsevier B.V.
Publication Name: Journal of Economics and Business
Subject: Economics
ISSN: 0148-6195
Year: 1993

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A multivariate test of the covariance-co-skewness restriction for the three moment CAPM

Article Abstract:

Co-skewness plays an important role in pricing risky assets. Using the multivariate testing approach, the covariance risk was found to be more important in the pricing of security returns than the co-skewness risk. Aside from the rejection of the share restriction, findings also reveal that the Kraus and Litzenberger model for the three moment CAPM has failed to describe the risky assets' pricing behavior.

Author: Lee, Cheng F., Lee, Ahyee, Moy, Ronald L.
Publisher: Elsevier B.V.
Publication Name: Journal of Economics and Business
Subject: Economics
ISSN: 0148-6195
Year: 1996
Research, Economic aspects, Multivariate analysis, Analysis of covariance, Covariance analysis

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Subjects list: Analysis, Capital assets pricing model, Capital asset pricing model
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