CAPM is CRAP, or, The Dead Parrot lives

A brief history of time Let's take a step back and examine a brief history of the origins of CAPM. ... AMEX and NASDAQ using 2-5 years of prior monthly returns. Ten portfolios are then formed based on beta, and the returns tracked over the next 12 months. ... 11 August 2004 for details). If their performance can be replicated with a six factor ... ................
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