Journal of Finance Vol. 54 No. 2 1999
On the Cross‐sectional Relation Between Expected Returns, Betas, and Size
Abstract
In this paper, I set up scenarios where the mean‐variance capital asset pricing model is true and where it is false. Then I investigate 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. I show 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.
- Volume
- 54
- Issue
- 2
- Pages
- 773-789
- Sources
- bibtex:phds-export.bib