Abstract

http://ssrn.com/abstract=1364800
 
 

References (40)



 
 

Citations (4)



 


 



Testing the CAPM Revisited


Surajit D. Ray


Morgan Stanley

N. Eugene Savin


University of Iowa - Henry B. Tippie College of Business - Department of Economics

Ashish Tiwari


University of Iowa

July 14, 2009


Abstract:     
This paper re-examines the tests of the Sharpe-Lintner Capital Asset Pricing Model (CAPM). The null that the CAPM intercepts are zero is tested for ten size-based stock portfolios and for twenty five book-to-market sorted portfolios using five-year, ten-year and longer sub-periods during 1965-2004. The paper shows that the evidence for rejecting the CAPM on statistical grounds is weaker than the consensus view suggests, and highlights the pitfalls of testing multiple hypotheses with the conventional heteroskedasticity and autocorrelation robust (HAR) test with asymptotic P-values. The conventional test rejects the null for almost all sub-periods, which is consistent with the evidence in the literature. By contrast, the null is not rejected for most of the sub-periods by the new HAR tests developed by Keifer, Vogelsang and Bunzel (2000), Kiefer and Vogelsang (2005), and Sun, Phillips and Jin (2008).

Number of Pages in PDF File: 35

Keywords: CAPM, Heteroskedasticity and autocorrelation robust (HAR) tests, Conventional Wald tests

JEL Classification: G12, C32

working papers series


Download This Paper

Date posted: March 23, 2009 ; Last revised: October 4, 2009

Suggested Citation

Ray, Surajit D. and Savin, N. Eugene and Tiwari, Ashish, Testing the CAPM Revisited (July 14, 2009). Available at SSRN: http://ssrn.com/abstract=1364800 or http://dx.doi.org/10.2139/ssrn.1364800

Contact Information

Surajit D. Ray
Morgan Stanley ( email )
1585 Broadway
New York, NY 10036
United States
Nathan Eugene Savin
University of Iowa - Henry B. Tippie College of Business - Department of Economics ( email )
108 Pappajohn Building
Iowa City, IA 52242
United States
319-335-0855 (Phone)
Ashish Tiwari (Contact Author)
University of Iowa ( email )
Finance Department
Henry B. Tippie College of Business, 108 PBB
Iowa City, IA 52242
United States
(319) 353-2185 (Phone)
(319) 335-3690 (Fax)
HOME PAGE: http://www.biz.uiowa.edu/faculty/atiwari
Feedback to SSRN


Paper statistics
Abstract Views: 1,392
Downloads: 326
Download Rank: 35,867
References:  40
Citations:  4

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo7 in 0.562 seconds