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

Robert R. Grauer

Journal of Finance, 1999, vol. 54, issue 2, 773-789

Abstract: 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.

Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:54:y:1999:i:2:p:773-789

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