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Ration Pricing Explanation for the Failure of the CAPM

Version
v1
Resource Type
Dataset : survey data
Creator
  • Guo, Hui (Federal Reserve Bank of St. Louis)
Other Title
  • Version 1 (Subtitle)
Publication Date
2004-08-20
Language
English
Description
  • Abstract

    Many authors have found that the capital asset pricing model (CAPM) does not explain stock returns -- possibly because it is only a special case of Merton's (1973) intertemporal CAPM under the assumption of constant investment opportunities (e.g., a constant expected equity premium). This paper explains the progress that has been made by dropping the assumption that expected returns are constant. First, the evidence on the predictability of returns is summarized. Then, an example from Campbell (1993) is used to show how time-varying expected returns can lead to the rejection of the CAPM.
  • Table of Contents

    Datasets:

    • DS1: Dataset
Collection Mode
  • Files submitted are the data file 0405hgd.xls and the program file 0405hgp.txt. These data are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.

Availability
Download
This study is freely available to the general public via web download.
Alternative Identifiers
  • 1303 (Type: ICPSR Study Number)
Publications
  • Guo, Hui. A Rational Pricing Explanation for the Failure of the CAPM. Federal Reserve Bank of St. Louis Review.86, (3), 23-33.2004.

Update Metadata: 2015-08-05 | Issue Number: 6 | Registration Date: 2015-06-15

Guo, Hui (2004): Ration Pricing Explanation for the Failure of the CAPM. Version 1. Version: v1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/ICPSR01303.v1