| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12607 |
| DP12607 The Lost Capital Asset Pricing Model | |
| Julien Cujean; Daniel Andrei | |
| 发表日期 | 2018-01-16 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | A flat Securities Market Line is not evidence against the CAPM. Under the Roll (1977) critique, the CAPM is a "lost city of Atlantis," empirically invisible. In a noisy rational-expectations economy, there exists an information gap between the average investor who holds the market and the empiricist who does not observe the market portfolio. The CAPM holds for the investor, but appears flat to the empiricist. This distortion is empirically substantial and explains, for instance, why "Betting Against Beta" works; BAB really bets on true beta. Macroeconomic announcements reduce the distortion---for a fleeting moment the empiricist catches a glimpse of the CAPM. |
| 主题 | Financial Economics |
| URL | https://cepr.org/publications/dp12607 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541419 |
| 推荐引用方式 GB/T 7714 | Julien Cujean,Daniel Andrei. DP12607 The Lost Capital Asset Pricing Model. 2018. |
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