CAPM skating on thin ice

Glenn Boyle

No 375702, Competition & Regulation Times from New Zealand Institute for the Study of Competition and Regulation

Abstract: Practical applications of the celebrated Capital Asset Pricing Model (CAPM) typically employ a prior and independent estimate of the market risk premium (MRP). But as Glenn Boyle explains, the CAPM itself places an exact restriction on the allowable MRP, an insight that has intriguing implications for the cost of capital estimates.

Date: 2006-11-01
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Persistent link: https://EconPapers.repec.org/RePEc:vuw:vuwcrt:375702

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