Grauer, Robert R.; Janmaat, Johannus A. - In: Journal of Banking & Finance 33 (2009) 5, pp. 775-787
This paper examines the power of the cross-sectional and multivariate tests of the CAPM under ideal conditions. When the CAPM is true the positively weighted market portfolio is MV-efficient and securities plot on the security market line. When the CAPM is false an alternative asset pricing...