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A unified beta pricing theory
Authors:Gregory Connor
Institution:J. L. Kellogg Graduate School of Management, Northwestern University, Evanston, Illinois 60201 USA
Abstract:This paper derives Ross's mutual fund separation theory and a new, equilibrium version of Ross's arbitrage pricing theory as special cases of a general theory. The paper also reveals that the two theories are identical in their predictions of asset prices and portfolio returns. The capital asset pricing model (a restricted case of the mutual fund separation theory) receives special treatment.
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