Beta lives - some statistical perspectives on the capital asset pricing model

C. J. Adcock and Ephraim Clark

The European Journal of Finance, 1999, vol. 5, issue 3, 213-224

Abstract: This note summarizes some technical issues relevant to the use of the idea of excess return in empirical modelling. We cover the case where the aim is to construct a measure of expected return on an asset and a model of the CAPM type is used. We review some of the problems and show examples where the basic CAPM may be used to develop other results which relate the expected returns on assets both to the expected return on the market and other factors.

Keywords: Arbitrage Pricing Theory; Arch Models; Beta; Capital Asset Pricing Model; Conditional Distributions; Multi-factor Models; Non-central Chi-squared (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (5)

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DOI: 10.1080/135184799337055

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