On the Cross-Sectional Relation between Expected Returns, Betas, and Size  

Oleh:

Grauer, Robert T.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 54 no. 2 (Apr. 1999), page 773-789.
Fulltext: p 773.pdf (232.18KB)

Isi artikel

In this paper, I set up scenarios where the mean-variance capital asset pricing model is true and where it is false. Then I investigate whether the coefficients from regressions of population expected excess returns on population betas, and expected excess returns on betas and size, allow us to distinguish between the scenarios. I show that the coefficients from either ordinary least squares or generalized least squares regressions do not allow us to tell whether the model is true or false.

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