In their picture of the mean-variance investment parabola, Kolari, Liu, and Huang (KLH) (2021) argued that commonly
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In their picture of the mean-variance investment parabola, Kolari, Liu, and Huang (KLH) (2021) argued that commonly used general stock market indexes (e.g., the value-weighted CRSP index or S &P 500 index) are inefficient. Where do they locate these general indexes within the parabola? If this is true, what is the implication to tests of the CAPM using the market model?
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Related Book For
Investment Valuation And Asset Pricing Models And Methods
ISBN: 9783031167836
1st Edition
Authors: James W. Kolari, Seppo Pynnönen
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