On the cross-sectional relation between expected returns, betas, and size

• 成果类型: Article
• 署名作者: Grauer, RR
• 署名单位: Simon Fraser University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00125
• 发表日期: 1999
• 页码: 773-789
• 关键词: market value; tests; equilibrium; MODEL

摘要

In this paper, I set up scenarios where the mean-variance capital asset pricing model is true and where it is false. Then I investigate whether the coefficients from regressions of population expected excess returns on population betas, and expected excess returns on betas and size, allow us to distinguish between the scenarios. I show that the coefficients from either ordinary least squares or generalized least squares regressions do not allow us to tell whether the model is true or false.