TY - JOUR
T1 - CAPM and the changing distribution of historical returns
AU - Shahi, Chandana
AU - Shaffer, Sherrill
N1 - Publisher Copyright:
© 2016 Informa UK Limited, trading as Taylor & Francis Group.
PY - 2017/5/21
Y1 - 2017/5/21
N2 - 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.
AB - 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.
KW - CAPM
KW - intertemporal shifts
KW - modern portfolio theory
UR - http://www.scopus.com/inward/record.url?scp=84981210818&partnerID=8YFLogxK
U2 - 10.1080/13504851.2016.1217304
DO - 10.1080/13504851.2016.1217304
M3 - Article
SN - 1350-4851
VL - 24
SP - 639
EP - 642
JO - Applied Economics Letters
JF - Applied Economics Letters
IS - 9
ER -