TY - JOUR
T1 - New evidence on practical implications of the CAPM
T2 - In memory of Simon Benninga
AU - Taussig, Roi D.
N1 - Publisher Copyright:
© 2021 Wiley Periodicals LLC
PY - 2022/1
Y1 - 2022/1
N2 - The Capital Asset Pricing Model (CAPM) has received tremendous attention since 1964. One of the main aspects of the model is a linear relationship between the coefficient of systematic risk, beta, and expected stock returns. This linear relationship is tested with non-parametric estimation. While the linear relationship is sustainable, the parabolic relationship is rejected significantly. The result is a strong support for the CAPM. Linear non-parametric estimation produces better predictions, which can benefit professionals.
AB - The Capital Asset Pricing Model (CAPM) has received tremendous attention since 1964. One of the main aspects of the model is a linear relationship between the coefficient of systematic risk, beta, and expected stock returns. This linear relationship is tested with non-parametric estimation. While the linear relationship is sustainable, the parabolic relationship is rejected significantly. The result is a strong support for the CAPM. Linear non-parametric estimation produces better predictions, which can benefit professionals.
UR - http://www.scopus.com/inward/record.url?scp=85117383498&partnerID=8YFLogxK
U2 - 10.1002/jcaf.22525
DO - 10.1002/jcaf.22525
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AN - SCOPUS:85117383498
SN - 1044-8136
VL - 33
SP - 72
EP - 77
JO - Journal of Corporate Accounting and Finance
JF - Journal of Corporate Accounting and Finance
IS - 1
ER -