Risk and capital asset prices |
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Authors: | Irwin Friend Randolph Westerfield |
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Institution: | University of Pennsylvania, Philadelphia, PA 19104, USA |
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Abstract: | This paper is an empirical examination of the statistical significance of the residual variance of individual assets as compared with the covariance of returns with various market portfolio proxies in predicting expected return. The data and analysis we present suggest that measures of covariance are no more significant than residual variance in predicting expected return. In this sense our paper is not supportive of the Sharpe-Lintner or Black versions of the capital asset pricing model. |
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