The capital asset pricing model and the market model
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چکیده
Is Beta Dead?” (Wallace [1980]) and other recent articles have asked whether broad consequences, disastrous to modern investment technology, would result from misspecification of the Capital Asset Pricing Model (CAPM), or worse yet, from falsehood of the model. The criticisms have cited imprecise specification of the market portfolio as a misapplication of the CAPM, and have emphasized the difference between the “efficient portfolio” and the market portfolio when the CAPM is false. The purpose of this article is to evaluate these criticisms.
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