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- Title
The Failure of the Capital Asset Pricing Model ( CAPM): An Update and Discussion.
- Authors
Bornholt, Graham
- Abstract
The author discusses the capital asset pricing model (CAPM) of financial market analysis, focusing on value anomalies, momentum anomalies, and the performance of beta stocks in contrast to their performance as predicted by the CAPM. Topics include book-to-market equity ratios, empirical tests of the CAPM in industries, and the mathematical modeling of risk in investments. The article "The Capital Asset Pricing Model (CAPM): The History of a Failed Revolutionary Idea in Finance?" by Michael Dempsey is mentioned.
- Subjects
CAPITAL assets pricing model; MARKETS; MATHEMATICAL models; MATHEMATICAL models of finance; STOCKS (Finance); INVESTMENT risk
- Publication
Abacus, 2013, Vol 49, p36
- ISSN
0001-3072
- Publication type
Article
- DOI
10.1111/j.1467-6281.2012.00382.x