Journal of Financial Economics Vol. 10 No. 3 1982
On the exclusion of assets from tests of the two-parameter model
Abstract
This study investigates the sensitivity of tests of the CAPM to different sets of asset returns. Tests are conducted with market portfolios that include returns for bonds, real estate, and consumer durables in addition to common stocks. Even when stocks represent only 10% of the portfolio's value, inferences about the CAPM are virtually identical to those obtained with a stocks-only portfolio. In contrast, inferences are sensitive to the set of assets used in the tests.
- DOI
- 10.1016/0304-405x(82)90002-2
- Volume
- 10
- Issue
- 3
- Pages
- 237-268
- Language
- en
- Sources
- crossref openalex bibtex:phds-export.bib