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Download full textChong, James T.; Jennings, William P.; Phillips, G. Michael – American Journal of Business Education, 2014
This paper illustrates how a third statistic from asset pricing models, the R-squared statistic, may have information that can help in portfolio construction. Using a traditional CAPM model in comparison to an 18-factor Arbitrage Pricing Style Model, a portfolio separation test is conducted. Portfolio returns and risk metrics are compared using…
Descriptors: Corporations, Investment, Regression (Statistics), Models
