DOES THE CAPITAL ASSET PRICING MODEL REALLY WORK?

DOES THE CAPITAL ASSET PRICING MODEL REALLY WORK?

In this paper, we calculated the average daily return and the Betas of Israeli stocks for the period April 1st 2009 – April 1st 2010. The correlation coefficient between return and Beta is 0.47. Although we find that the econometric relation between return and Beta is statistically significant, it s...

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Veröffentlicht in:Journal of prediction markets 2012-12, Vol.5 (1), p.26-30
Hauptverfasser: Ben-David, Nissim, Ben David, Evyatar
Format: Artikel
Sprache:eng
Schlagworte:
Capital assets
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Zusammenfassung:In this paper, we calculated the average daily return and the Betas of Israeli stocks for the period April 1st 2009 – April 1st 2010. The correlation coefficient between return and Beta is 0.47. Although we find that the econometric relation between return and Beta is statistically significant, it seems that higher Beta in many cases does not represent higher expected return.
ISSN:1750-6751
1750-676X
DOI:10.5750/jpm.v5i1.484