SENSITIVITY OF MULTIVARIATE TESTS OF THE CAPITAL ASSET-PRICING MODEL TO THE RETURN MEASUREMENT INTERVAL

• 成果类型: Note
• 署名作者: HANDA, P; KOTHARI, SP; WASLEY, C
• 署名单位: University of Rochester; Washington University (WUSTL)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329051
• 发表日期: 1993
• 页码: 1543-1551
• 关键词: term structure; stock returns; RISK; size; CAPM

摘要

The capital asset-pricing model's (CAPM) primary empirical implication is a positively sloped linear relation between a security's expected rate of return and its relative risk (beta). Recent research indicates that inferences about the risk-return relation are sensitive to the choice of the return measurement interval. We perform multivariate tests of the Sharpe-Lintner CAPM using monthly and annual returns on market-value-ranked portfolios. The CAPM is rejected using monthly returns, a result consistent with previous research. In contrast, we fail to reject the CAPM when annual holding period returns are used.