haku: @indexterm CAPITAL ASSET PRICING / yhteensä: 356
viite: 51 / 356
| Tekijä: | Hamerle, A. Rösch, D. |
| Otsikko: | Das Surrogatproblem bei "multivariaten" CAPM-Tests |
| Lehti: | Schmalenbachs Zeitschrift für Betriebswirtschaftliche Forschung
1997 : VOL. 49:10, p. 858-876 |
| Asiasana: | CAPITAL ASSET PRICING CAPM TESTS CROSS-SECTIONAL MODELS PORTFOLIO MANAGEMENT EMPIRICAL RESEARCH |
| Kieli: | ger |
| Tiivistelmä: | The present paper deals with the performance of CAPM tests in which inferences are made about the validity of the Sharpe-Lintner CAPM (or another equilibrium pricing relation). The main problem is that the market portfolio is not directly observable and proxies have to be employed in empirical tests. This index problem is also the main point in the Roll critique (1977). Roll concludes that "the theory is not testable unless the exact composition of the true market portfolio is known and used in the tests". In this paper the performance of the cross-sectional-regression- (CSR-)test is investigated in some detail. It turns out that the index problem cannot be eliminated by the CSR-test and other multivariate tests. Moreover, the CRS-test has extremely low power, even in the case of a moderate number of assets. |
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