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Investor Expectations and Systematic Risk: Discussion Paper No. 129

Clements, Adam E. & Drew, Michael E. (2003) Investor Expectations and Systematic Risk: Discussion Paper No. 129. [Working Paper]

Abstract

This study refines the estimation of beta risk within the Capital Asset Pricing Model (CAPM) framework. Evidence is provided that the link between ex-ante risk and ex-post returns is strengthened by more accurately reflecting the formation of investor expectations. An adaptive expectations approach is employed as an estimation technique consistent with the behavioural patterns of investors. Finally, the study compares the capability of risk estimates from both the standard CAPM and adaptive expectation methods to account for future asset returns in Australia.

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Full-text downloads:

611 since deposited on 26 Aug 2004
62 in the past twelve months

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ID Code: 392
Item Type: Working Paper
Keywords: asset Pricing, adaptive expectations, Australia
ISSN: 1324-5910
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Copyright Owner: Copyright 2003 (please consult author)
Deposited On: 26 Aug 2004
Last Modified: 05 Jan 2011 23:23

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