Skip navigation
Skip navigation

CAPM and the changing distribution of historical returns

Shahi, Chandana; Shaffer, Sherrill

Description

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
URI: http://hdl.handle.net/1885/217895
Source: Applied Economics Letters
DOI: 10.1080/13504851.2016.1217304

Download

There are no files associated with this item.


Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  19 May 2020/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator