Bibliografía

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  • FAMA, E.F. and K.R. FRENCH (1992): "The cross-section of expected stock returns", Journal of finance, Junio, págs. 427-465.

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  • FAMA, E.F. and K.R. FRENCH (1993b): Size and book-to-market factors in earnings and returns, Working paper, Center for research in security prices, Septiembre, Universidad de Chicago.

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  • FULLER, W.A. (1987): Measurement error models, John Wiley & Sons, Nueva York.

  • GOMEZ-BEZARES, F., J.A. MADARIAGA y J. SANTIBAÑEZ (1994): Valoración de acciones en la bolsa española. Un análisis de la relación entre la rentabilidad y el riesgo, Desclée de Brouwer, Bilbao.

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  • KOTHARI, S.P., J. SHANKEN and R.G. SLOAN (1992): Another look at the crosssection of expected stock returns, Working paper, Bradley policy research center, Diciembre, Universidad de Rochester, New York.

  • LINTNER, J. (1965): "The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets", Review of economics and statistics, Febrero, págs. 13-37.

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  • LO, A.W. and A.C. MacKINLAY (1990): "Data-snooping biases in tests of financial asset pricing models", Review of financial studies, 3, págs. 431-467.

  • MARKOWITZ, H. (1952): "Portfolio selection", Journal of finance, Marzo, págs. 77-91.

  • MILLER, M.H. and M. SCHOLES (1972): "Rates of return in relation to risk: a reexamination of some recent findings", en Jensen, ed., Studies in the theory of capital markets, Praeger, Nueva York, págs. 47-78.

  • MOSSIN, J. (1966): "Equilibrium in a capital asset market", Econometrica, Octubre, págs. 768-783.

  • PALACIOS, J. (1973): The stock market in Spain: test of efficiency and capital market theory, Tesis doctoral no publicada, Stanford University.

  • REILLY, F.K. and D.J. WRIGHT (1988): "A comparison of published betas", Journal of portfolio management, Primavera, págs. 64-69.

  • REINGANUM, M.R. (1981): "A new empirical perspective on the CAPM", Journal of financial and quantitative analysis, 16, págs. 439-462.

  • ROLL, R. (1977): "A critique of the asset pricing theory’s tests", Journal of financial economics, Marzo, págs. 129-176.

  • ROLL, R. and S.A. ROSS (1980): "An empirical investigation of the arbitrage pricing theory", Journal of finance, Diciembre, págs. 1073-1103.

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  • ROLL, R. and S.A. ROSS (1994): "On the cross-sectional relation between expected returns and betas", Journal of finance, Marzo, págs. 101-121.

  • ROSS, S.A. (1976): "The arbitrage theory of capital asset pricing", Journal of economic theory, Diciembre, págs. 341-360.

  • RUBIO, G. (1988): "Further international evidence on asset pricing. The case of the Spanish Capital Market", Journal of banking and finance, 12, págs. 221-242.

  • SHANKEN, J. (1982a): An analysis of the traditional risk-return model, Unpublished doctoral dissertation, Graduate School of Business, Carnegie-Mellon University, Pittsburgh, PA.

  • SHANKEN, J. (1982b): "The arbitrage pricing theory: is it testable?", Journal of finance, Diciembre, págs. 1129-1140.

  • SHANKEN, J. (1985): "Multi-beta CAPM or equilibrium-APT?: a reply", Journal of finance, Septiembre, págs. 1189-1196.

  • SHAPIRO, S.S. and M.B. WILK (1965): "An analysis of variance test for normality", Biometrika, Diciembre, págs. 591-611.

  • SHARPE, W.F. (1964): "Capital asset prices: A theory of market equilibrium under conditions of risk", Journal of finance, Septiembre, págs. 425-442.

  • SHUKLA, R. and C. TRZCINKA (1990): "Sequential tests of the arbitrage pricing theory: a comparison of principal components and maximum likelihood factors", Journal of finance, Diciembre, págs. 1541-1564.

  • STAMBAUGH, R.F. (1982): "On the exclusion of assets from tests of the two-parameter model: a sensitivity analysis", Journal of financial economics, Noviembre, págs. 237-268.