A test of the CAPM on Philippine common stocks
This paper presents the results of an empirical test of the capital asset pricing model (CAPM) on the returns on Philippine common stocks from 1990 to 2000. The test uses the two-step cross sectional regression (CSR) procedure to compute for the beta of each asset and the parameters of the Sharpe-Li...
| Published in: | The Philippine Review of Business and Economics Vol. XXXIX, No. 1 (June 2002), p. [121]-141. |
|---|---|
| Main Author: | |
| Format: | Analytics |
| Language: | English |
| Published: |
2002.
|
| Subjects: |