On certain aspects of the ex ante CAPM.

摘要

Expectational information was used in the formation of forward looking estimates of security returns and ex ante betas, which were then utilized in tests of the CAPM under different forms of market proxies. This enabled us to assess the extent of divergence in the predictions of the CAPM when the underlying data and methodology was similar in all aspects, except for the ex ante form of asset returns. The results indicate the statistical existence of a relationship between expected returns and beta (systematic risk). A recharacterization of the Gibbons, Ross and Shanken (1989) test statistic, that is used in tests of portfolio efficiency is also provided, and is based on its trigonometric properties in the mean-variance space.