New evidence on practical implications of the CAPM: In memory of Simon Benninga

Roi D. Taussig

doi:https://doi.org/10.1002/jcaf.22525

New evidence on practical implications of the CAPM: In memory of Simon Benninga

Roi D. Taussig

Department of Economics and Business Administration

Ariel University

Research output: Contribution to journal › Article › peer-review

Abstract

The Capital Asset Pricing Model (CAPM) has received tremendous attention since 1964. One of the main aspects of the model is a linear relationship between the coefficient of systematic risk, beta, and expected stock returns. This linear relationship is tested with non-parametric estimation. While the linear relationship is sustainable, the parabolic relationship is rejected significantly. The result is a strong support for the CAPM. Linear non-parametric estimation produces better predictions, which can benefit professionals.

Original language	English
Pages (from-to)	72-77
Number of pages	6
Journal	Journal of Corporate Accounting and Finance
Volume	33
Issue number	1
DOIs	https://doi.org/10.1002/jcaf.22525
State	Published - Jan 2022

All Science Journal Classification (ASJC) codes

Accounting
Economics, Econometrics and Finance(all)

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abstract = "The Capital Asset Pricing Model (CAPM) has received tremendous attention since 1964. One of the main aspects of the model is a linear relationship between the coefficient of systematic risk, beta, and expected stock returns. This linear relationship is tested with non-parametric estimation. While the linear relationship is sustainable, the parabolic relationship is rejected significantly. The result is a strong support for the CAPM. Linear non-parametric estimation produces better predictions, which can benefit professionals.",

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New evidence on practical implications of the CAPM: In memory of Simon Benninga

Abstract

All Science Journal Classification (ASJC) codes

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