| Authors |
|
| Publication date |
2006
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| Journal |
Applied Financial Economics Letters
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| Volume | Issue number |
2 | 2
|
| Pages (from-to) |
131-137
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| Number of pages |
7
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| Organisations |
-
Faculty of Economics and Business (FEB) - Amsterdam Business School Research Institute (ABS-RI)
|
| Abstract |
The issue of 'best-beta' arises as soon as potential errors in the Sharpe-Lintner-Black capital asset pricing model (CAPM) are acknowledged. By incorporating a target variable into the investor preferences, this study derives a best-beta CAPM (BCAPM) that maintains the CAPM's theoretical appeal and analytical simplicity yet unambiguously improves its pricing accuracy. Empirical observations suggest that the BCAPM predicts expected returns better than the CAPM by 20% to 30% annually.
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| Document type |
Article
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| Language |
English
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| Published at |
https://doi.org/10.1080/13504850500395993
|
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