Ch15 Empirical Tests of CAPM

8/3/2019 Ch15 Empirical Tests of CAPM

1/40

fnf@

,W @,nff9@

W nf@9,

W @f9,,

W @9@f9,,

W ff@ff@fff-fn

W n

W ffff9ff9,


2/40

%04/08 39050.9,9438,3/!489

%0898

%04/08,70-,80/43050.9,9438;,7,-08,700570880/390728411:9:70;,:08

40;07,908984190!,;0-00350714720/:8305489474-807;0/;,:0814790;,7,-08

%08250147241!24/08

%08939824/005489706:7089700,88:259438-08,9810/

%02,70924/04/830;075074/ %0!24/04/830;075074/

%0-09,889,-04;07920

#### .

#### .

9990####

=

=.


3/40

nf@9,

W $42054908084190!

7809,84:/-0,884.,90/9

709:73

30,770,94385-09003-09,,3/709:73

4,//0/709:73147-0,733432,70978


4/40

@9,

W ff%f

fff

:70

892,90/$0.:79,70930


5/40

ff%%0894109078,708907-09,8.,7707709:738

047$94..,309205074/

43897:.9547914489/1107039-09,8

78970708833/;/:,,8809709:738432,709709:738-,80/43

1;00,78

3.0,0,7,8,708070/;/0/394903.,9047087,30/-

907-09,

54791441470,..,9047,814720/06:,090/

3;0892039897,904/8,7083430.,9047434;079003970

5074/

#070885479144709:734398-09,#, ,-

%013/,,3/,


6/40

ff%43.:8438

$,708907-09,80307,9007709:738,

:38,7089071470.,890/-09,80,/944/3

54791448907-09,80-09,8,7089,-04;07920

4709,3390;,7,9433050.90/709:73

05,30/-/110703.083-09,448,8190708,30,7

70,94385-09003-09,,3/70,0/,;07,0709:73

%03907.05970,9079,3780887,9041709:73

%08450,882,079,3902,7095702:2


7/40


8/40

3930770574/:.0/-4:,8

78970708843

#9 -#29 09 0,7709:738.42243894.8

$0.43/70708843 # , ,- ,$

0

$0 890;,7,3.041901990/708/:,174290178970708843

19089,3/,7/!897:0903,84:/06:,#1

, 84:/06:,#2#1,3/, 84:/06:,07419007409,!897:0903,84:/06:,#, 84:/06:,#2#

,3/, 84:/06:,074

%0708:9,8

,

,

,-49, ,3/, ,70831.,39/11070391742074,9900;0

$002894;4,9090!


9/40

257.,;,:,94341!W 437:3,;07,0709:738,70831.,3970,90/94-09,

W %0/4988490,.9:,,;07,0785702:281742547914489

W /1107039-09,8

W -09,547914480307,90/07,;07,0709:738

W -09,547914481,-04$

W 4-09,54791448,3/,-4;0$

W ,301990/949054791448

4:/-01,99079,3$

$4:7.0807,.09,,3/709:73


10/40

257.,;,:,94341!

$4:7.0807,.09,,3/709:73


11/40

257.,;,:,94341!W %0/4988490,.9:,,;07,0785702:281742547914489

W 1107039-09,84;07/11070395074/8%070,943-09003-09,,3/

,.9:,,;07,0709:73,8-0032:.0,0783.0902/8

!/4083498002944704;0790,890,78

$4:7.0807,.09,,3/709:73


12/40

,2,,3/703.,3/%0%700,.9474/0

,2,,3/703.0,230/894.8-09003,3/.43.:/39,9,894.87820,8:70/--09,

,8349,70,-0570/.947415071472,3.0

%014:3/1,.9478/08.7-3;,:0,3/80

$94-0902489831.,391,.94784:98/0412,7097814705,339070,0/709:738415:-.97,/0/

894.

.$ 20,8:708900;0410548:70948078,3/.20,8:708900;0410548:7094;,:078

$####$ ...


13/40

,2,,3/703.$,3/,.9478

W %0$,.947..4:39314790$0

!702:2

W $.89,3/8147$2,3:88/0830/9420,8:7090,//943,709:73

3;089478,;08947.,70.0;0/-

3;08933894.841.425,3089

70,9;082,2,709.,59,,943


14/40

,2,,3/703.$,3/,.9478

W .884791473:84,8-003

.43897:.90/9420,8:7090;,:05702:2574;/0/94

3;0894781473;08933.425,3089-4494

2,709;,:08


15/40

,3/#%%#%#

W ,2,,3/703.,.947849079,3-09,800225479,39357.3,88098

$4:7.0,2,,3/703.%07488$0.9434150.90/$94.#09:738


16/40

,3/#%%#%#


17/40

,3/#%%#%#

W 39075709,94384190,.9478

W 370,990$,3/1,.94781789/70,9903943

,3/.4393:094-0902489.42243:80/825

-0.,:80904790,;0843,70,907570/.9;0540741,394,//943,1,.94789,9

7080,7.078,;090890/419030/3,3# ;,:041

,55742,90%,9

W 038,/.,:8,05,3,9438147$,70,550,3

1742,904709.,507850.9;0-:914790,-03419,8,781,.947,885:770/2:./8.:8843


18/40

!74-029,2,,3/703.%700,.9474/0

#4-079402,3 8809!7.3$2:9,309%700,.9474/0,3/4893,883/,34:73,41

.4342.8,3/:83088

W 0,7:089,980;,:0,3/490757.3039,3

1,.9478,703498.0391.,;,/3,3,880957.324/041709:730892,90/,3/70890/-89,989.,

2094/8

W 385,50708489,9,880957.324/0841

709:739781,.94789,9039,09078,70847/;/03/8,704.,.7.:,782:9,30908,3/9:8

,701,,.4:820,3308834339075709,-0

3/090723,90,3/349;,/0390890/,3/0892,90/

-8.0391.89,989.,2094/8


19/40

9,

W f%fff

ffnf

J-nn@

nf

nff

fn ffnf

f


20/40

%0,.03803$.408%089

%00774783;,7,-08574-02

10,7841/,9,8:80/940892,90.900892,908;07348

&8343070892,9435074/43947-0.,:80. 8.,304;07

920

$4:943894147254791448480. 8.,3-00892,90/2:.2470570.80

!74-028494.448090.42548943419054791448

154791448,7014720/7,3/425479144. 8,-0.48094,3/

9089,.5407

00/,2094/94098:11.039;,7,9433905479144. 8


21/40

%0,.03803$.408%089

$!479144800.94390.36:08924/10/,.0,7.,.:,90. 8:83,70708843410,.80.:7908709:7343902,709147905,891;00,78

47254791448-,80/430892,90/. 8

$2,0895479144,8904190894.899040890892,90/. 809.

#00892,90905479144. 8,1907901472,9435074/

W %080.43/70708843

,;0

W , W ,

99990##,## .

990,,## .


22/40

:70nIf

$!489$0.:79,70930$


23/40

#08:984190$$9:/

%0708:98419089:/,550,70/94-0.438890399

90074-09,;078434190,59,8809!7.34/0

!

19089,3/,7/!,897:09084:/,;0

14:3/147,/0.0854791448

40;079014:3/30,9;05489;0147,70

82,-09,8%88.4388903999007409,

!

8434909,9,.03803,3/$.4080892,90/9005489$0.:79,7093083;,74:88:-

5074/830307,90708:9807082,7


24/40

@fff,fn

W $,250 894.84390$ W ,7093/0 6:,090/547914441,894.84390$

W :9304190$9:/

892,90,-09,1470,.894.:832439709:738/:73905074/

024398

#,347/07,4190894.-09,8,3/1472

54791448%0945990089-09,8,703547914409.90-49942990

82,089-09,8,7035479144

892,9090-09,410,.419054791448-707088354791442439

709:738,,389902,7093/0/:73905074/ 0

24398

470,.419024398/:73905074/ 0892,90900

5489$-70708835479144709:738,,3895479144-09,8

490$8-00892,90/4301470,.2439


25/40

$:22,741$9058%74:

&80/940892,90894.-09,8,3/

147254791448

&80/940892,90

-09,410,.419054791448

&80/940892,90

$8301470,.2439

470,. 419024398/:73905074/ 0892,9094,//943,06:,9438

894.89041;,7,3.0708/:,;07,02

#'070

709:735479144,110.98894.841

;,7,3.0708/:,0790890994#',,,,7

934330,7147908994,,,7

2

5

55

555

5

555


26/40

%0708:98,550,70/94-0.43889039990074-09,

;078434190!

, ,8831.,3970,9079,39020,3419078170039070897,90

, ,8831.,39/11070391742074%08450

4190$,85489;0

, ,3/, 070349 831.,39/1107039174207409070,8340;/03.04134330,794741

708/:,;,7,3.0,110.93709:738

W 110703.0-09003$,3/$9:/08

3$-09,8,3/,;07,0709:738070.425:90/3908,205074/8

3-09,834305074/070:80/94570/.9

709:7383,,9075074/


27/40

%06:,943

79 . 79 19

79

79

.


28/40

#48796:041%08984190!

W %08980948041$,3/,70

9,:944.,34930.088,7#08:98094807054790/.4:/-04-9,30/770850.9;0

41480.:790807057.0/70,9;09478

05:33:2-0784:941,,94:/

574/:.0908,20708:98%070147090!,834970,90890/:79072470

83.00.,33494507,943,/013090

2,709547914490!.,330;07-0

90890/


29/40

9897:09,91902,70954791448011.03990

70,94385-09003050.90/709:73,3/-09,-0

50710.930,7,3/5489;08450/

7

7

7

7

7

7

97 .

$


30/40

40;07;03,30,770,94385-090035479144

709:73,3/-09,9/40834930.088,71449,990

2,70954791448011.039%07014700,;034990890/

90!

W 470,2501-09,8,70.425:90/97010703.094,33/0547914438/0 90232:2;,7,3.08099070,94385-0900380.:79-09,8,3/050.90/709:738349-030,7!479144840;07549.48079490$-0.,:809080.:79708/:,8-0,;07,0/39054791448

%0701470:83,33011.039 2,7095479144

$00907,589,9144


31/40

473/;/:,$0.:7908

7

7

7

97

7

7

.

7


32/40

47!4791448

7

7

7

97

7

7

.

7


33/40

257.,;,:,94341!

W Jfnfnn n%fnffn

%nfff

fnf@ffff

fff

@fnfff

ffnf

nff


34/40

390907,3/$4207:0/

W ,2,,3/703.89:/8:1107817428:7;;,-,8

,3894.8947,9484157.094

-44;,:0,70313,3.,897088,3/3/

:51,3%080894.80700.:/0/174290,2,,3/703./,9,%8

574/:.0/:5,7/-,83905071472,3.0

41457.094-44;,:0894.8,8,

.,88


35/40

$990787:0/

W @fnfff

ffnfn

ff

W nnffff

nffff

fff


36/40

42203943%089390!

@nnf

f9,fnn

nff@#,f9nff nfff

J f

#,f9@

9, ff


37/40

$420//943,;/03.0

W 892,90/-09,8,70;0780389;09490

2,7093/0-03:80/

W 378709:7385,.03/.08.,3-0.48094

0,.4907,3/.4809490011.039809,3/89574/:.0/110703970,9438585489;0

,3/30,9;0-09003709:73,3/-09,

W 3089:/8:0890/:83,/:,-09,

,5574,.94,/:8914778/110703.083-:

,3/ -0,72,7098


38/40

$420431.933/3834703$94.,7098

W nffffn

@nnf

W fnfn,nf

nnfW -nfnf

@nnf

W Infff

ff


39/40

257.,;,:,94341!

W $:22,741!

W !8,997,.9;0

W 988250,3/8038-0

W 8-:94324/07354791449047

W /893:80888902,9.78,3/34388902,9.78W 574;/08,825057.324/0

W 9870,9;00,8942502039

W !8.43974;078,

W 98/11.:9949089

W W/11.:994/0391902,7095479144W W/11.:9940892,90709:738,3/-09,8

W 257.,0;/03.0820/

W 9073,9;057.324/0829/4-09907


40/40

$%257.,$9:/

W %00257.,89:/080307,,700:543901443708:98

W ,%03907.0598831.,39/11070391742#1

W -%070,7089:/088439,9033.:/34907;,7,-083

9070708843907.4011.0398,70831.,39/11070391742074

W .13.:/3,86:,70/-09,3907070884398.4011.0398349831.,39/11070391742074

W /%0.4011.03941-09,, 80889,3#2 #1

W 0039006:,94380892,90/4;07435074/841920,

Documents

Ch15 Empirical Tests of CAPM