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CAPM and the changing distribution of historical returns

Shahi, Chandana; Shaffer, Sherrill


Three statistical tests reject the capital asset pricing model (CAPM) assumption of a constant distribution of returns over time, for three different aggregate stock indices over various holding periods since 1950. These findings further undermine the reliability of CAPM applied to historical data for choosing optimal portfolio allocations.

CollectionsANU Research Publications
Date published: 2017
Type: Journal article
Source: Applied Economics Letters
DOI: 10.1080/13504851.2016.1217304


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