CAPM and the changing distribution of historical returns

Chandana Shahi and Sherrill Shaffer

Applied Economics Letters, 2017, vol. 24, issue 9, 639-642

Abstract: Three statistical tests reject the capital asset pricing model (CAPM) assumption of a constant distribution of returns over time, for three different aggregate stock indices over various holding periods since 1950. These findings further undermine the reliability of CAPM applied to historical data for choosing optimal portfolio allocations.

Date: 2017
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DOI: 10.1080/13504851.2016.1217304

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