The performance of cross-sectional regression tests of the CAPM with non-zero pricing errors

被引：5

作者：

Murtazashvili, Irina ^{[2
]}

Vozlyublennaia, Nadia ^{[1
]}

机构：

[1] Texas Tech Univ, Rawls Coll Business Adm, Area Finance, Lubbock, TX 79409 USA

[2] Univ Pittsburgh, Dept Econ, Pittsburgh, PA 15260 USA

来源：

JOURNAL OF BANKING & FINANCE | 2012年 / 36卷 / 04期

关键词：

CAPM; Fama-MacBeth procedure; Pricing errors; EXPECTED RETURNS; MULTIVARIATE TESTS; MODELS; EFFICIENCY; PORTFOLIO; BETAS; RISK;

D O I：

10.1016/j.jbankfin.2011.10.018

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We show that in the presence of non-zero pricing errors, the Fama-MacBeth (FM) cross-sectional regression test is very likely to either reject the Capital Asset Pricing Model (CAPM) when it (almost) holds or accept the model when it grossly fails. We investigate the case when pricing errors are correlated with betas and demonstrate that the test performance depends crucially on the correlation, cross-sectional distribution of betas, and several other parameter values. Even when the CAPM holds exactly (pricing errors are zero) the FM test is equally likely to either reject or accept the model when typical sample sizes are used. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：1057 / 1066

页数：10

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