The Failure of the Capital Asset Pricing Model ( CAPM ): An Update and Discussion
Year: 2012
Type: article
Abstract: Dempsey (2013) highlights the empirical failure of the capital asset pricing model (CAPM). I study the beta, value and momentum anomalies using industry returns, with particular emphasis on the post-1993 period. Strong evidence of these effects is observed over the whole sample. However in recent years, while the value and momentum anomalies appear to continue, the beta anomaly appears to have weakened. Notwithstanding these results, I show that the value and momentum anomalies, and the value of beta, are largely irrelevant to the calculation of industry cost of equity
Source: Abacus
Author: Graham Bornholt
Institution: Griffith University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2553768585