Empirische Performance „multivariater“ Tests des Capital-Asset-Pricing-Models / Empirical Performance of “Multivariate” CAPM-Tests

Hamerle Alfred
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Hamerle Alfred: Universität Regensburg, Wirtschaftswissenschaftliche Fakultät, Lehrstuhl für Statistik, D-93040 Regensburg

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1996, vol. 215, issue 2, 228-244

Abstract: The present paper deals with the empirical performance of multivariate tests of the CAPM. These tests were developed to avoid the severe problems arising in the traditional two-pass regression approach. The results indicate that not all of the problems can be eliminated. In particular, the index problem that arises if an index portfolio is used instead of the unobservable market portfolio causes severe difficulties. Conclusions based on the tests can be misleading. In the last section an artificial capital market is generated. This financial market is in equilibrium and the CAPM is valid. The performance and problems are illustrated in several simulation studies.

Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:215:y:1996:i:2:p:228-244

DOI: 10.1515/jbnst-1996-0209

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