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| Author: | Levy, H. |
| Title: | The CAPM is alive and well: A review and synthesis |
| Journal: | European Financial Management
2010 : JAN, VOL. 16:1, p. 43-71 |
| Index terms: | capital asset pricing models theories finance research economists review |
| Freeterms: | discussion |
| Language: | eng |
| Abstract: | Mean-Variance (M-V) analysis and the Capital assets pricing model (CAPM) are derived in the expected utility framework. This study shows that the CAPM is theoretically valid even when one accepts the Behavioural Economists and Psychologists (BE&P) framework and even when expected utility is invalid. In addition, within the BE&P framework there is a strong experimental support for the CAPM. |
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