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Bad Beta, Good Beta

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NBER2003-02-01 更新2025-01-04 收录
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This paper explains the size and value anomalies' in stock returns using an economically motivated two-beta model. We break the CAPM beta of a stock with the market portfolio into two components, one reflecting news about the market's future cash flows and one reflecting news about the market's

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2003-02-01
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