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Conditional Beta Explaining Cross-Sectional Returns
By Student  •  June 9, 2011

One of the lesser known resources maintained on this fledgling site is a no-bullshit collection of academic papers that have investigated relevant investment-related issues focused on SG and HK. I have neglected it for a while in the excitement of doing my own research and commentary but today I came across So and Tang (2010), published in Applied Economics. The main paper will be inaccessible to non-subscribers but I obtained a copy (thanks K) and thought I should highlight a few things:

The Intellectual Discourse

  1. In the beginning, there was Markowitz (1959), and mean variance analysis was born. Investors should hold a mean-variance efficient portfolio.
  2. Then the three wise men, Sharpe (1964), Lintner (1965) and Black (1972), came along, and gave us the gift of CAPM. CAPM said, 1) the expected return on a risky asset is postitively related to its systematic risk or market beta, and 2) no ...
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By Student
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