03
Apr
2017
14:15
- 15:45
IWH Research Seminar
On the Robustness of the Unlevered Capital Asset Pricing Model
Who
Lammertjan Dam
(University of Groningen)
Where
conference room, Leipziger Straße 100
Firms’ financial leverage can largely explain the value effect, however, we document that the expected return-beta relationship of equity in unconditional tests of the CAPM is more generally distorted by leverage.