Corporate Finance

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Risk and Return  83

REFERENCES AND SUGGESTED READING


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Finance, Vol. 23.
Banz, Rolf (1981). ‘The Relationship between Return and Market Value of Common Stocks’, Journal of Financial Economics.
Berry, M A, E Burmeister, and M B McElroy (1988). ‘Sorting Out Risks using APT Factors’, Financial Analysts Journal,
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Black, F, M C Jensen, and M Scholes (1972). ‘The Capital Asset Pricing Model: Some Empirical Tests’, in M C Jensen (ed),
Studies in the Theory of Capital Markets, Praeger Publishers, New York.
Bower, Dorothy, Richard Bower, and Dennis Logue (1984a). ‘Equity Screening Rates Using Arbitrage Pricing Theory’, in
C F Lee (ed), Advances in Financial Planning, JAI Press, Greenwich, CT.
——— (1984b). ‘Arbitrage Pricing Theory and Utility Stock Returns’, Journal of Finance, Vol. 39, No. 4.
——— (1992). ‘A Primer on Arbitrage pricing theory’, in Joel Stern and Donald Chew Jr. (eds), The Revolution in Corporate
Finance, Basil Blackwell Publishers, Oxford, UK.
Chan, Louis K C and Josef Lakonishok (1993). ‘Are the Reports of Beta’s Death Premature?’, Journal of Portfolio Management,
Vol. 19.
Cochrane, John (1999). ‘New Facts in Finance’, National Bureau of Economic Research Working Paper No. 7169.
Dimson, Elroy, Paul Marsh, and Mike Staunton (2002). Triumph of the Optimists: 101 Years of Global Investment Returns,
Princeton University Press.
Divecha, A B, J Drach, and D Stefek (1992). ‘Emerging Markets: A Quantitative Perspective’, Journal of Portfolio Management,
Vol. 19, No. 1, pp. 41–50.
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Portfolio Management, Vol. 21, No. 2.
Fama, Eugene and James D MacBeth (1973). ‘Risk, Return and Equilibrium: Empirical Tests’, Journal of Political Economy,
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Fama, Eugene and Kenneth French (1992). ‘The Cross-Section of Expected Stock Returns’, Journal of Finance, Vol. 47,
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——— (1995). ‘Size and Book-to-Market Factors in Earnings and Returns’, Journal of Finance, Vol. 50, No. 1.
Gebhardt, William, Soeren Hvidkjaer, and Bhaskaran Swaminathan (2001). ‘The Cross Section of Expected Bond Returns:
Betas or Characteristics?’, Unpublished Working Paper, Johnson Graduate School of Management, Cornell University.
Kothari, S P, Jay Shanken, and Richard Sloan (1995). ‘Another Look at the Cross Section of Expected Stock Returns’, Journal
of Finance, Vol. 50, No. 1.
Modigliani, Franco and Gerald Pogue (1979). ‘An Introduction to Risk and Return: Concepts and Evidence’, ‘Part I’, Financial
Analysts Journal, March–April.
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Roll, Richard and Stephen Ross (1980). ‘An Empirical Investigation of the Arbitrage Pricing Theory’, Journal of Finance,
Vol. 35, pp. 1073–103.
——— (1983). ‘Regulation, the Capital Asset Pricing Model and the Arbitrage Pricing Theory’, Public Utilities Fortnightly,
Vol. 111.
Rosenberg, Barr and Andrew Rudd (1992). ‘The Corporate Uses of Beta’, in Joel Stern and Donald Chew Jr. (eds), The
Revolution in Corporate Finance, Basil Blackwell Publishers, Oxford, UK.
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Siegel, Jeremy (1999). ‘The Shrinking Equity Premium’, Journal of Portfolio Management, Vol. 26, No. 1.
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Sharpe, William F (1964). ‘Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk’, Journal of
Finance, Vol. 19, No. 3.
Wagner, Wayne H and Sheila Lau (1971). ‘The Effect of Diversification on Risk’, Financial Analysts Journal, Vol. 26.

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