Une méthode asymptotique pour tester la validité du modèle d’équilibre d’actifs financiers (MEDAF) avec pour exemple la bourse de Paris

Emmanuel Apel
Additional contact information
Emmanuel Apel: Université d’Ottawa

L'Actualité Economique, 1981, vol. 57, issue 2, 225-243

Abstract: One of the problems in testing the validity of the two-parameter CAPM is the determination of an efficient proxy market portfolio to represent the true market portfolio. We test the mean-variance efficiency of a pre-specified market portfolio by using a method proposed by Roll (1976) for testing the linear relation between the rate of return of an asset and its beta, and hence the mean-variance efficiency of a proxy market portfolio. This procedure exploits the asymptotic exact linearity condition of the rate of return and beta by measuring the rate of decrease of cross-sectional residual variance with respect to increasing time-series sample size. The technique is applied to samples of companies on the Paris Stock Exchange for the period 1969-1978: 144 companies and twenty-nine different time series. The results indicate that although the sum of the squared residuals of a CAPM-type regression declines as the number of time observations increases, the sum of the squared residuals does not approach zero as the temporal sample size increases, as would be required for the market proxy of our pre-specified sample to be efficient.

Date: 1981
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://id.erudit.org/iderudit/600972ar

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ris:actuec:v:57:y:1981:i:2:p:225-243

Access Statistics for this article

L'Actualité Economique is currently edited by Benoit Dostie

More articles in L'Actualité Economique from Société Canadienne de Science Economique Contact information at EDIRC.
Bibliographic data for series maintained by Benoit Dostie ( this e-mail address is bad, please contact ).