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Ration Pricing Explanation for the Failure of the CAPM

Author: Inter-university Consortium for Political and Social Research.
Publisher: Ann Arbor, Mich. : Inter-university Consortium for Political and Social Research [distributor], 2004.
Series: ICPSR (Series), 1303.
Edition/Format:   Computer file : EnglishView all editions and formats
Database:WorldCat
Summary:
Many authors have found that the capital asset pricing model (CAPM) does not explain stock returns -- possibly because it is only a special case of Merton's (1973) intertemporal CAPM under the assumption of constant investment opportunities (e.g., a constant expected equity premium). This paper explains the progress that has been made by dropping the assumption that expected returns are constant. First, the evidence  Read more...
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Material Type: Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Inter-university Consortium for Political and Social Research.
OCLC Number: 61146218
Notes: Title from ICPSR DDI metadata of 2004-10-30.
Details: Mode of access: Intranet.
Series Title: ICPSR (Series), 1303.
Responsibility: Hui Guo

Abstract:

Many authors have found that the capital asset pricing model (CAPM) does not explain stock returns -- possibly because it is only a special case of Merton's (1973) intertemporal CAPM under the assumption of constant investment opportunities (e.g., a constant expected equity premium). This paper explains the progress that has been made by dropping the assumption that expected returns are constant. First, the evidence on the predictability of returns is summarized. Then, an example from Campbell (1993) is used to show how time-varying expected returns can lead to the rejection of the CAPM.

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