The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Portfolio Inefficiency and the Cross‐section of Expected Returns
Open accessAbstract
The Capital Asset Pricing Model implies that (i) the market portfolio is efficient and (ii) expected returns are linearly related to betas. Many do not view these implications as separate, since either implies the other, but we demonstrate that either can hold nearly perfectly while the other fails grossly. If the index portfolio is inefficient, then the coefficients and from an ordinary least squares regression of expected returns on betas can equal essentially any values and bear no relation to the index portfolio's mean‐variance location. That location does determine the outcome of a mean‐beta regression fitted by generalized least squares.
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Citations
Cites
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
Sharpe, W. F. (1964) · The Journal of Finance · doi:10.1111/j.1540-6261.1964.tb02865.x · Cited by 19,441
Cited by
A well-conditioned estimator for large-dimensional covariance matrices
Ledoit, O., & Wolf, M. (2004) · Journal of Multivariate Analysis · doi:10.1016/s0047-259x(03)00096-4 · Cited by 3,046
Liquidity and stock returns: An alternative test
Datar, V. T., Y. Naik, N., & Radcliffe, R. (1998) · Journal of Financial Markets · doi:10.1016/s1386-4181(97)00004-9 · Cited by 1,312
Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
Gagliardini, P., Ossola, E., & Scaillet, O. (2016) · Econometrica · doi:10.3982/ecta11069 · Cited by 278
Zerbib, O. D. (2022) · Review of Finance · doi:10.1093/rof/rfac045 · Cited by 252
Metadata
- Authors
- KANDEL, S., & STAMBAUGH, R. F.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1995-03
- Volume
- 50
- Issue
- 1
- Pages
- 157-184
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2130931348
- Cited by
- 247
- References
- 1
- FWCI
- 12.20
- Type
- journal article
- Language
- en
- Open access
- green
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- KANDEL, S., & STAMBAUGH, R. F. (1995). Portfolio Inefficiency and the Cross‐section of Expected Returns. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1995.tb05170.x
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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