The Progeny of CAPM

21 Pages Posted: 1 Mar 2007

See all articles by Sanjay K. Nawalkha

Sanjay K. Nawalkha

University of Massachusetts Amherst - Isenberg School of Management

Christopher Schwarz

University of California at Irvine

Date Written: June 2004

Abstract

This paper reviews the recent literature on CAPM and APT, and reaches a surprising conclusion. While APT died a silent death, CAPM's progeny is alive and well! We provide a short review of the recent literature on the conditional CAPMs, intertemporal CAPMs, and higher-order Co-Moments-based CAPMs. Some of these multifactor extensions of CAPM not only have higher explanatory power than the three-factor Fama and French (FF) model, but also are not rejected in the empirical tests, while the FF model is rejected.

Keywords: APT, CAPM, Multifactor Models, Beta, Asset Pricing

JEL Classification: G11, G12, G21, G22, G23, G24, G31

Suggested Citation

Nawalkha, Sanjay K. and Schwarz, Christopher, The Progeny of CAPM (June 2004). Available at SSRN: https://ssrn.com/abstract=966403 or http://dx.doi.org/10.2139/ssrn.966403

Sanjay K. Nawalkha (Contact Author)

University of Massachusetts Amherst - Isenberg School of Management ( email )

Amherst, MA 01003-4910
United States
413-687-2561 (Phone)

Christopher Schwarz

University of California at Irvine ( email )

Irvine, CA 92697-3125
United States

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