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CAPM, Components of Beta and the Cross Section of Expected Returns

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Academic year: 2021

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Figure

Figure 1: Realized vs Fitted Returns
Figure 2: SSPE of Asset Pricing Models for Alternative Sample Periods
Table 1: Summary Statistics for Monthly Excess Returns on the 25 Size- and Book-to-Market-Sorted Portfolios
Table 2: Performance Measures of Asset Pricing Models
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