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Finance and Economics Discussion Series: Solving an Empirical Puzzle in the Capital Asset Pricing Model
Paperback
EconomicsInvesting & FinanceGeneral Political Science
ISBN13: 9781297051241
Publisher: Scholar's Choice
Published: Feb 16 2015
Pages: 34
Weight: 0.14
Height: 0.07 Width: 6.14 Depth: 9.21
Language: English
A long standing puzzle in the Capital Asset Pricing Model (CAPM) has been the inability of empirical work to validate it. This paper presents a new approach to estimating the CAPM, taking into account the differences between observable and expected returns for risky assets and for the market portfolio of all traded assets, as well as inherent nonlinearities and the effects of excluded variables. Using this approach, we provide evidence that the relation between the observable returns on stock and market portfolios is nonlinear.
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