CAPM is CRAP, or, The Dead Parrot lives
Each December from 1923 to 2003 they estimate a beta for every stock on the NYSE, 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. The chart below plots the average return for each decile against its average beta. ................
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