The Market Model Applied to European Common Stocks: Some Empirical Results (Classic Reprint) - Hardcover

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Excerpt from The Market Model Applied to European Common Stocks: Some Empirical Results

The stock price literature abounds with applications of the Markowitz [l] Sharpe [15] market model to American stock price data.2 There is a lack of corresponding studies for non-american securities, due primarily to the absence of generally available machine readable data bases (see however [13] and The purpose of this paper is to present the results of some initial tests of the market model for a broad cross-section of the European common stocks. Our data base consists of daily price and dividend data for 228 stocks from seven European countries.3 In addition, for com - parison purposes we have included a sample of 65 American securities.

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