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dc.contributor.authorDesmoulins-Lebeault, François
dc.date.accessioned2009-12-17T10:10:09Z
dc.date.available2009-12-17T10:10:09Z
dc.date.issued2002
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/2749
dc.language.isoenen
dc.subjectGestion de portefeuilleen
dc.subject.ddc332en
dc.subject.classificationjelG12en
dc.titleCapm empirical problems and the distributionen
dc.typeCommunication / Conférence
dc.description.abstractenThe 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.
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitleAFFI (Association Française de Finance) : Information financière et marchésen
dc.relation.confdate2002-12
dc.relation.confcityParisen
dc.relation.confcountryFranceen


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