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Is beta still alive? : Conclusive evidence from the Swiss stock market

Isakov, Dušan

In: The European Journal of Finance

Recent evidence by Fama and French (1992,1996) and others shows that betas and returns are not related empirically. They interpret this as evidence against the validity of the capital asset pricing model and they conclude that the beta is not a good measure of risk. This paper claims that usual tests do not leave much opportunity for beta to appear as a useful variable capable of explaining...