Ration Pricing Explanation for the Failure of the CAPM
收藏ICPSR2004-01-01 更新2026-04-16 收录
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资源简介：
Many authors have found that the capital asset pricing model (CAPM) does not explain stock returns -- possibly because it is only a special case of Merton's (1973) intertemporal CAPM under the assumption of constant investment opportunities (e.g., a constant expected equity premium). This paper explains the progress that has been made by dropping the assumption that expected returns are constant. First, the evidence on the predictability of returns is summarized. Then, an example from Campbell (1993) is used to show how time-varying expected returns can lead to the rejection of the CAPM.
提供机构：
Federal Reserve Bank of St. Louis
创建时间：
2004-01-01
