Hamerle, Alfred (1996) Empirische Performance „multivariater“ Tests des Capital-Asset-Pricing-Models / Empirical Performance of “Multivariate” CAPM-Tests. JAHRBUCHER FUR NATIONALOKONOMIE UND STATISTIK, 215 (2). pp. 228-244. ISSN 0021-4027, 2366-049X
Full text not available from this repository.Abstract
The present paper deals with the empirical performance of multivariate tests of the CAPM. These tests were developed to avoid the severe problems arising in the traditional two-pass regression approach. The results indicate that not all of the problems can be eliminated. In particular, the index problem that arises if an index portfolio is used instead of the unobservable market portfolio causes severe difficulties. Conclusions based on the tests can be misleading. In the last section an artificial capital market is generated. This financial market is in equilibrium and the CAPM is valid. The performance and problems are illustrated in several simulation studies.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | EFFICIENCY; PORTFOLIO; MODELS |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Entpflichtete oder im Ruhestand befindliche Professoren > Lehrstuhl für Statistik (Prof. Dr. Alfred Hamerle) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 02 Nov 2023 09:55 |
| Last Modified: | 02 Nov 2023 09:55 |
| URI: | https://pred.uni-regensburg.de/id/eprint/51889 |
Actions (login required)
 |
View Item |
