CAPM AND THE CROSS-SECTIONAL RETURNS AND BETAS OF SOME MARKET INDICES RELATIVE TO THE SP 500 INDEX: FAMA-MACBETH REGRESSIONS

摘要

Returns and betas of 20 market indices relative to the S&P500 Index are studied to test the validity of the Capital Asset Pricing Model (CAPM) using Fama-Macbeth regressions. The data covers 1990 to 2009. The betas in four quintiles are co-integrated and the empirical results using the Fama-Macbeth regressions do not support the CAPM.