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Risk, Return, and Equilibrium: A Revisit

1986; University of Chicago Press; Volume: 94; Issue: 1 Linguagem: Inglês

10.1086/261365

1537-534X

Seha M. Tiniç, Richard West,

Financial Reporting and Valuation Research

This paper reports the results of tests of the major implications of the two-parameter capital asset pricing model. The findings indicate that the relationship between stock returns and systematic risk contains important nonlinearities during 1935-82. These nonlinearities cannot be ascribed to previously documented anomalies related to firm size or January seasonality. Moreover, the test results appear to be sensitive to the choice of the proxy for the market portfolio.