Granger Causality and the Capital Asset Pricing Model
Mihir Dash ()
Journal of Applied Management and Investments, 2014, vol. 3, issue 2, 68-73
At the heart of the CAPM lies the concept of systematic risk. The systematic risk of a security is that component of the total risk of the security that is explained by market risk. This study investigates the econometrics of the CAPM. In particular, it analyses Granger causality from market returns to security returns, the absence of which would weaken the significance of beta, and undermine the foundations of the CAPM.
Keywords: Capital Asset Pricing Model; beta; systematic risk; market risk; Granger causality (search for similar items in EconPapers)
References: Add references at CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ods:journl:v:3:y:2014:i:2:p:68-73
Access Statistics for this article
Journal of Applied Management and Investments is currently edited by Anatoliy G. Goncharuk
More articles in Journal of Applied Management and Investments from Department of Business Administration and Corporate Security, International Humanitarian University Contact information at EDIRC.
Bibliographic data for series maintained by Anatoliy G. Goncharuk ().