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A New Empirical Perspective on the CAPM

Published online by Cambridge University Press:  06 April 2009

Marc R. Reinganum
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Extract

The adequacy of the capital asset pricing models (CAPM) of Sharpe [27], Lintner [17], and Black [4] as empirical representations of capital market equilibrium is now seriously challenged (for example, see Ball [1], Banz [2], Basu [3], Cheng and Graver [8], Gibbons [15], Marsh [18], Reinganum [22], and Thompson [20]). Yet, the influence of earlier empirical studies (such as Black, Jensen, and Scholes [5] and Fama and MacBeth [11]) still remains; the current consensus seems to be that a security's beta is still an important economic determinant of equilibrium pricing even though it may not be the sole determinant. In light of the recent empirical evidence, however, the claim that a security's beta is an important determinant of equilibrium pricing should be reexamined.

Information

Type
Capital Asset Pricing Model
Information
Journal of Financial and Quantitative Analysis , Volume 16 , Issue 4 , November 1981 , pp. 439 - 462
Copyright
Copyright © School of Business Administration, University of Washington 1981

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References

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