{"id":425550,"date":"2018-09-12T12:07:37","date_gmt":"2018-09-12T12:07:37","guid":{"rendered":"https:\/\/acemystudy.com\/?p=1407"},"modified":"2018-10-24T09:05:53","modified_gmt":"2018-10-24T09:05:53","slug":"pompeii-and-detroit-paper","status":"publish","type":"post","link":"https:\/\/www.benedictsol.com\/blogs\/pompeii-and-detroit-paper\/","title":{"rendered":"Pompeii and Detroit Paper"},"content":{"rendered":"<h2>Pompeii and Detroit<\/h2>\n<p>7. Strategy of buying low beta and shorting low beta stocks to create beta=0 portfolio. Replicate and extend the results of Black, Jensen, and Scholes. &#8220;The Capital Asset Pricing Model: Some Empirical Tests,&#8221; in Jensen, Studies in the Theory of Capital Markets. (New York, 1972).<\/p>\n<p>8. Create the Fama-MacBeth procedure for testing the CAPM. Extend the test by testing for the CAPM adjusted for taxes. Fama, Eugene and MacBeth, J. &#8220;Risk, Return, and Equilibrium: Empirical Tests,&#8221; Journal of Political Economy, May\/June 1973. Litzenberger, R.H. and Ramaswamy K. &#8220;The Effect of Personal Taxes and Dividends on Capital Asset Prices: Theory and Empirical Evidence,&#8221; Journal of Financial Economics, June 1979.<\/p>\n<p>do the two problem each for one page.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Pompeii and Detroit 7. Strategy of buying low beta and shorting low beta stocks to create beta=0 portfolio. Replicate and extend the results of Black, Jensen, and Scholes. &#8220;The Capital Asset Pricing Model: Some Empirical Tests,&#8221; in Jensen, Studies in <a href=\"https:\/\/www.benedictsol.com\/blogs\/pompeii-and-detroit-paper\/\" class=\"read-more\">Read More &#8230;<\/a><\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[1],"tags":[],"class_list":["post-425550","post","type-post","status-publish","format-standard","hentry","category-uncategorized"],"_links":{"self":[{"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/posts\/425550","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/comments?post=425550"}],"version-history":[{"count":0,"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/posts\/425550\/revisions"}],"wp:attachment":[{"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/media?parent=425550"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/categories?post=425550"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/tags?post=425550"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}