Usually in financial textbooks and courses the theory of portfolio selection is taught in a strictly theoretical way …, given her preference curves and an efficient frontier. On the other hand, the Capital Asset Pricing Model (CAPM) is … practitioners conclude that those models are just inapplicable theory. This is the most rational behavior one can expect. What can …

In this paper, we investigate whether the international version of CAPM can price rational and irrational sentiments of … U.S. individual and institutional investor sentiments. The results show that the CAPM prices rational sentiments driven … positively related to returns predicted, as well as those not predicted by the CAPM. We also compare these findings with the …

It is well-known that cross-sectional tests of the CAPM are problematic. The market indexes used in empirical tests are … has led many to express serious doubt on the testability of the CAPM. In this paper I show that the CAPM is indeed … the CAPM. The first step uses a simple combination of the coefficients of determination from both Ordinary Least Squares …

factor parameters in the CAPM of Sharpe (1964), the HCAPM of Jagannathan and Wang (1996) and the CCAPM of Lucas (1978) can … models and that (b) a CAPM using the labour income to consumption ratio as a conditioning variable proves to be the best …