Extending the capital asset pricing model: the reward beta approach

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Title Extending the capital asset pricing model: the reward beta approach
Author Bornholt, Graham Nicholas
Journal Name Accounting and Finance
Editor Robert Faff
Year Published 2007
Place of publication Carlton, Victoria, Australia
Publisher Blackwell Publishing Asia Pty Ltd
Abstract This paper offers an alternative method for estimating expected returns. The proposed reward beta approach performs well empirically and is based on asset pricing theory. The empirical section compares this approach with the capital asset pricing model (CAPM) and the Fama–French three-factor model. In out-of-sample testing, both the CAPM and the three-factor model are rejected. In contrast, the reward beta approach easily passes the same test. In robustness checks, the reward beta approach consistently outperforms both the CAPM and the three-factor model.
Peer Reviewed Yes
Published Yes
Volume 47
Page from 69
Page to 83
ISSN 0810-5391
Date Accessioned 2008-02-21
Language en_AU
Faculty Griffith Business School
Subject Finance
URI http://hdl.handle.net/10072/18459
Publication Type Journal Articles (Refereed Article)
Publication Type Code c1

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