Low, Cheekiat; Nayak, Subhankar - In: The Quarterly Review of Economics and Finance 49 (2009) 4, pp. 1460-1475
Empirical evaluations of CAPM usually attach a caveat that rejection is conditional on the choice of market proxy. We explore the criticality of the proxy choice disclaimer. Using different proxies and comprehensive simulations of the unobserved "true" market in Fama-MacBeth tests of CAPM, we...