Bias in Fitting the Sharpe Model to Time Series Data

Richard Roll

Journal of Financial and Quantitative Analysis, 1969, vol. 4, issue 3, 271-289

Abstract: The Sharpe model of capital asset pricing under conditions of risk has received wide theoretical acclaim and empirical support. This paper presents an econometric study of the model with the following objectives: (a) to show the effect of measuring the model's independent variables incorrectly; (b) to derive and use a new procedure for empirically testing the adequacy of the model as it is currently formulated.

Date: 1969
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Persistent link: https://EconPapers.repec.org/RePEc:cup:jfinqa:v:4:y:1969:i:03:p:271-289_01

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