Economics, Econometrics and Finance
8 years ago

Traditional CAPM Risk Measure Outperformed by Stock Market Beta.

SSRN Electronic Journal
Risk and Return: Consumption Versus Market Beta
N. Gregory Mankiw, Matthew D. Shapiro

Paper Summary

The study compared two models to measure the risk of assets: one based on market returns and the other on consumption growth. They looked at 464 stocks and found that measuring risk with market returns was more effective than using consumption growth.

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