Risk and Return: An Experimental Analysis.
An investment experiment in which a real monetary profit or loss can occur is designed to test the capital asset pricing model (CAPM) and the generalized CAPM (segmented market model) with ex-ante parameters. Risk and return are found to be strongly associated. While in most cases the generalized CAPM beta provides the best results, the CAPM beta (and even the individual asset's variance, being a good proxy to the generalized CAPM beta) reveals a strong positive association with mean returns. The author concludes that the risk-return equilibrium model is not dead; it is alive and doing better than previous empirical studies have revealed. Copyright 1997 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
Year of publication: |
1997
|
---|---|
Authors: | Levy, Haim |
Published in: |
International Economic Review. - Department of Economics. - Vol. 38.1997, 1, p. 119-49
|
Publisher: |
Department of Economics |
Saved in:
Saved in favorites
Similar items by person
-
Does Risk Seeking drive Asset Prices?
Post, Thierry, (2002)
-
The investment home bias with peer effect
Levy, Haim, (2020)
-
Investment performance and emotions : an international study
Kaplanski, Guy, (2019)
- More ...