CAPM and the changing distribution of historical returns

Chandana Shahi; Sherrill Shaffer

doi:10.1080/13504851.2016.1217304

CAPM and the changing distribution of historical returns

Chandana Shahi, Sherrill Shaffer

Research output: Contribution to journal › Article

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 language	English
Pages (from-to)	639-642
Journal	Applied Economics Letters
Volume	24
Issue number	9
DOIs	https://doi.org/10.1080/13504851.2016.1217304
Publication status	Published - 2017

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CAPM and the changing distribution of historical returns

Abstract

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