Economics, Econometrics and Finance
8 years ago

New method uncovers "one-true" market returns, revolutionizing asset pricing.

2 views
SSRN Electronic Journal
The One: A Simulation Study of CAPM Market Returns
Jordan French

Paper Summary

A new method for calculating market returns was developed using the Capital Asset Pricing Model (CAPM). By comparing different financial distributions and market proxies, it was found that the student t-distribution is the best choice for accurate CAPM market returns. The study also showed that popular market proxies like the NYSE are inefficient and can lead to misleading results when using CAPM.

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