DOES THE CAPITAL ASSET PRICING MODEL REALLY WORK?

Nissim Ben-David and Evyatar Ben-David
Authors registered in the RePEc Author Service: Nissim Ben David

Journal of Prediction Markets, 2011, vol. 5, issue 1, 26-30

Abstract: 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.

Keywords: Daily Return; Beta (search for similar items in EconPapers)
JEL-codes: L83 (search for similar items in EconPapers)
Date: 2011
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