A look at the quality of CAPM

August 2, 2011

Empirical Finance Blog has a post called “How to use the Fama French Model”.

I find  the first part of the post most interesting.  This shows some examples of how the Capital Asset Pricing Model falls down.  I’ve trashed CAPM before in the form of “4 and a half myths about beta in finance”.

The posts on low volatility investing also exhibit weaknesses of CAPM.

Subscribe to the Portfolio Probe blog by Email

Latest posts

Leave a Reply

Related posts

  • The top 7 portfolio optimization problems

    January 5, 2012

    Stumbling blocks on the trek from theory to practical optimization in fund management. Problem 1: portfolio optimization is too hard If you are using a spreadsheet, then this is [...]

  • Market predictions for years 2011 and 2012

    January 2, 2012

    A review of market predictions and results for 2011, and a calibration for 2012 predictions (of 19 equity indices plus oil). Previously One year ago the post "Revised market [...]

  • Three talks from CFE

    December 22, 2011

    The Computational and Financial Econometrics conference was just held in London.  Here are three talks from the large menu. Lars Helge Hass The objective is to find a way [...]