New model revolutionizes asset pricing, boosting efficiency and accuracy.
The article introduces a new model to test how well the capital asset pricing model works in real life. The model looks at how the risk and return of assets change over time, using different economic factors. By analyzing a large set of data all at once, the model is more efficient than previous methods. The researchers found a way to test if the model's predictions hold true, and applied it to real investment portfolios from 1963 to 2018.