CAPM: un modelo absurdo (CAPM: An Absurd Model)

16 Pages Posted: 23 Sep 2014 Last revised: 24 Jan 2018

See all articles by Pablo Fernandez

Pablo Fernandez

University of Navarra - IESE Business School

Date Written: December 29, 2017

Abstract

Spanish Abstract: El CAPM es un modelo absurdo porque sus hipótesis y sus conclusiones/predicciones son opuestas a la realidad (describen “un mundo” que no es el nuestro). La hipótesis más extravagante es que los inversores tienen expectativas homogéneas (todos esperan la misma rentabilidad y la misma volatilidad de todas las acciones) y la predicción más contraria a la realidad es que la cartera de renta variable de todos los inversores es idéntica en su composición: todas las acciones del mercado (“el mercado”). Es imposible determinar “la prima de riesgo del mercado” y “la beta de mercado de una empresa” porque tales números no existen debido a las heterogéneas expectativas de los inversores. De la hipótesis absurda de “expectativas homogéneas”, se derivan otros absurdos que se muestran en el apartado 3. Y si se aplica parcialmente surge la esquizofrenia del apartado 4.

English Abstract: The CAPM is obviously contrary to common sense. The assumptions are senseless and the conclusions are untrue. It is an enormous error to use the historical beta as a proxy for the expected beta. First, because it is almost impossible to calculate a meaningful beta because historical betas change dramatically from one day to the next; second, because very often we cannot say with a relevant statistical confidence that the beta of one company is smaller or bigger than the beta of another; third, because historical betas do not make much sense in many cases: high-risk companies very often have smaller historical betas than low-risk companies; fourth, because historical betas depend very much on which index we use to calculate them.

Note: Downloadable document is in Spanish.

Keywords: CAPM; Beta; Calculated beta; Market risk premium

JEL Classification: G12, G31, M21

Suggested Citation

Fernandez, Pablo, CAPM: un modelo absurdo (CAPM: An Absurd Model) (December 29, 2017). Available at SSRN: https://ssrn.com/abstract=2499455 or http://dx.doi.org/10.2139/ssrn.2499455

Pablo Fernandez (Contact Author)

University of Navarra - IESE Business School ( email )

Camino del Cerro del Aguila 3
28023 Madrid
Spain
+34 91 357 0809 (Phone)
+34 91 357 2913 (Fax)

HOME PAGE: http://web.iese.edu/PabloFernandez/

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