IDEAS home Printed from https://ideas.repec.org/a/buc/jpredm/v5y2011i1p26-30.html
   My bibliography  Save this article

Does The Capital Asset Pricing Model Really Work?

Author

Listed:
  • Nissim Ben-David
  • Evyatar Ben-David

Abstract

In this paper, we calculated the average daily return and the Betas of Israeli stocks for the period April 1st 2009 – April 1st 2010. The correlation coefficient between return and Beta is 0.47. Although we find that the econometric relation between return and Beta is statistically significant, it seems that higher Beta in many cases does not represent higher expected return.

Suggested Citation

  • Nissim Ben-David & Evyatar Ben-David, 2011. "Does The Capital Asset Pricing Model Really Work?," Journal of Prediction Markets, University of Buckingham Press, vol. 5(1), pages 26-30.
    • Handle: RePEc:buc:jpredm:v:5:y:2011:i:1:p:26-30
    as

    Download full text from publisher

    File URL: http://ubplj.org/index.php/jpm/article/view/484
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Daily Return; Beta;

    JEL classification:

    • L83 - Industrial Organization - - Industry Studies: Services - - - Sports; Gambling; Restaurants; Recreation; Tourism

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:buc:jpredm:v:5:y:2011:i:1:p:26-30. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Dominic Cortis, University of Malta (email available below). General contact details of provider: http://www.ubpl.co.uk/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.