in the pricing kernel, helping explain the empirical failure of the (consumption) CAPM. Our single-factor model … reproduces the failure of the CAPM in explaining the value premium in finite samples without disasters, and its relative success … in samples with disasters. The standard consumption CAPM fails in simulations, even though a nonlinear model with the …

. However, the beta parameter of the Capital Asset Pricing Model (CAPM) is invariant to the holding period. Such contradiction … the CAPM's bias resulting from this abiding – but flawed – assumption. The proposed procedure is based on Greene and … Fielitz (1980) seminal work on the application of fractional Brownian motion to CAPM, and on a revised technique for …

the difference between low and high frequency betas (dBeta) yields large systematic mispricings relative to the CAPM at … that the CAPM can hold at high frequencies and more factors are needed to price assets at low frequencies, we show that the … CAPM may be an appropriate asset pricing model at low frequencies but that additional factors, such as one based on opacity …

The security market line (SML) accords with the capital asset pricing model (CAPM) by taking on an upward slope in …