Beyond the CAPM

Edward E. Williams and John A. Dobelman

Chapter 9 in A Random Walk to Nowhere:How the Professors Caused a Real “Fraud-on-the-Market”, 2020, pp 137-160 from World Scientific Publishing Co. Pte. Ltd.

Abstract: By the 1990s, the “joint hypothesis” of efficiency (the semi-strong efficient market hypothesis, EMH) and equilibrium (CAPM) had gained traction as the “new” theory of finance. Even then, however, the growing anomalies literature discussed earlier in Chapter 7 created problems for the CAPM, and a consensus began to form that a new model, the arbitrage pricing model or APM, would replace it. More recently, the CAPM has been pretty much discarded by practitioners (even those with MBAs from the University of Chicago) and questioned in the academic literature…

Keywords: Efficient Market Hypothesis; Market Inefficiency; Mathematical Economics; Academic Finance; Real-World Markets; Fraud; Random Walk (search for similar items in EconPapers)
JEL-codes: B26 O16 (search for similar items in EconPapers)
Date: 2020
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