Grauer, Robert R.; Janmaat, Johannus A. - In: Journal of Banking & Finance 34 (2010) 2, pp. 457-470
Grouping does not produce a wide range of betas. Consequently, cross-sectional tests of the CAPM are bound to lack power. This paper provides a simple way to alleviate the problem by repackaging the data with zero-weight portfolios. When the CAPM is true and the data are repackaged, simulation...