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.
