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Short sales restrictions and the security market line |
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| Authors: | J.A. Schnabel |
| Affiliation: | University of Calgary, Calgary, Alberta T2N 1N4, Canada |
| Abstract: | A reformulation of the CAPM is derived by taking account of short-sales restrictions on both risky and safe assets. The induced security market line is shown to be consistent with the empirical security market lines of various researchers. |
| Keywords: | Address correspondence to J.A. Schnabel Faculty of Management University of Calgary Calgary Alberta T2N 1N4 Canada. |
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