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Capm empirical problems and the distribution

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desmoulins.pdf (211.1Kb)
Date
2002
Dewey
Economie financière
Sujet
Gestion de portefeuille
JEL code
G12
Conference name
AFFI (Association Française de Finance) : Information financière et marchés
Conference date
12-2002
Conference city
Paris
Conference country
France
URI
https://basepub.dauphine.fr/handle/123456789/2749
Collections
  • DRM : Publications
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Author
Desmoulins-Lebeault, François
Type
Communication / Conférence
Abstract (EN)
The CAPM is generally contested on an empirical basis.The tests conducted with data from financial markets do not generally imply the acceptance of the model as describing correctly the range of expected returns. When regressing returns of individual assets on the market portfolio, R2 are generally not very good. The regression of the average returns against bet as is even worse. Explaining these weak results by factors other than a temporary mispricing may allow us to understand better their origins.Specifically we will explore the relationship that may exist between the ineffectiveness of the CAPM and the non-normality of the returns distribution.More to the point, we find descriptive statistics of the returns distribution that partially predict the ineffectiveness of the bet a for a given asset.

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