CAPM and the changing distribution of historical returns

Chandana Shahi, Sherrill Shaffer

    Research output: Contribution to journalArticle

    Abstract

    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.
    Original languageEnglish
    Pages (from-to)639-642
    JournalApplied Economics Letters
    Volume24
    Issue number9
    DOIs
    Publication statusPublished - 2017

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