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| Author: | Grauer, R. |
| Title: | On the cross-sectional relation between expected returns, betas and size |
| Journal: | Journal of Finance
1999 : APR, VOL. 54:2, p. 773-790 |
| Index terms: | FINANCE BETA FACTOR EXPECTATIONS |
| Language: | eng |
| Abstract: | In this paper, the author sets up scenarios where the mean-variance capital asset pricing model is true and where it is false. Then the author investigates whether the coefficients from regressions of population expected excess returns on population betas, and expected excess returns on betas and size, allow us to distinguish between the scenarios. The author shows that the coefficients from either ordinary least squares or generalized least squares regressions do not allow us to tell whether the model is true or false. |
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