The CAPM: Theoretical validity, empirical intractability and practical applications

Brown, PR; Walter, TS

The CAPM: Theoretical validity, empirical intractability and practical applications

Brown, PR Walter, TS

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Publisher:: Wiley-Blackwell Publishing Asia
Publication Type:: Journal Article
Citation:: Abacus, 2013, 49 (S1), pp. 44 - 50
Issue Date:: 2013-01

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Field	Value	Language
dc.contributor.author	Brown, PR	en_US
dc.contributor.author	Walter, TS	en_US
dc.date.issued	2013-01	en_US
dc.identifier.citation	Abacus, 2013, 49 (S1), pp. 44 - 50	en_US
dc.identifier.issn	0001-3072	en_US
dc.identifier.uri	http://hdl.handle.net/10453/31177
dc.description.abstract	The capital asset pricing model (CAPM) is an ex ante concept, whereas so-called `tests of the CAPM are conducted ex post. The CAPM is a partial equilibrium model in which agents view the risk-free return (Rf) and the probability distribution of the future return on risky assets (inline image) as exogenous. Dempsey (2013) argues that the empirical evidence against the CAPM is so compelling that it has reached the point where the CAPM should be abandoned, possibly being replaced by an assumption that investors expect the same return on all assets, regardless of their relative risk.	en_US
dc.publisher	Wiley-Blackwell Publishing Asia	en_US
dc.relation.ispartof	Abacus	en_US
dc.relation.isbasedon	10.1111/j.1467-6281.2012.00383.x	en_US
dc.subject.classification	Accounting	en_US
dc.title	The CAPM: Theoretical validity, empirical intractability and practical applications	en_US
dc.type	Journal Article
utslib.citation.volume	S1	en_US
utslib.citation.volume	49	en_US
utslib.for	1501 Accounting, Auditing and Accountability	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	true	en_US
pubs.issue	S1	en_US
pubs.volume	49	en_US

Abstract:

The capital asset pricing model (CAPM) is an ex ante concept, whereas so-called `tests of the CAPM are conducted ex post. The CAPM is a partial equilibrium model in which agents view the risk-free return (Rf) and the probability distribution of the future return on risky assets (inline image) as exogenous. Dempsey (2013) argues that the empirical evidence against the CAPM is so compelling that it has reached the point where the CAPM should be abandoned, possibly being replaced by an assumption that investors expect the same return on all assets, regardless of their relative risk.

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http://hdl.handle.net/10453/31177