The Lost Capital Asset Pricing Model

• 成果类型: Article
• 署名作者: Andrei, Daniel; Cujean, Julien; Wilson, Mungo
• 署名单位: McGill University; University of Bern; University of Oxford
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdad013
• 发表日期: 2023
• 页码: 2703-2762
• 关键词: cross-section; differential information; Spectral Distribution; Market equilibrium; conditional capm; stock-market; performance; prices; eigenvectors; expectations

摘要

We provide a novel explanation for the empirical failure of the capital asset pricing model (CAPM) despite its widespread practical use. In a rational-expectations economy in which information is dispersed, variation in expected returns over time and across investors creates an informational gap between investors and the empiricist. The CAPM holds for investors, but the securities market line appears flat to the empiricist. Variation in expected returns across investors accounts for the larger part of this distortion, which is empirically substantial; it offers a new interpretation of why betting against beta (BAB) works: BAB really bets on true beta. The empiricist retrieves a stronger CAPM on days when public information reduces disagreement among investors.