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The aim of the following paper is to exploit principal econometric techniques to test the Capital Asset Pricing Model theory in Italian equity markets. CAPM is a financial model which describes expected returns of any assets (or asset portfolio) as a function of the expected return on the market portfolio. In this paper the author will firstly explains the meaning of the market risk and the author will measures it via the estimation of beta coefficients, which, in this view, are seen as a measure of assets' sensitivity to market portfolio fluctuations.
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