The Progeny of CAPM
21 Pages Posted: 1 Mar 2007
Date Written: June 2004
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: Suggested Citation