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Examining Capm In Today's Markets, David R. Knox

Honors Scholar Theses

The purpose of this work is to empirically assess the validity of the Capital Asset Pricing Model (CAPM) in terms of how can it model an equity’s return. The goal of this work is not to challenge the theory behind CAPM, nor compare it to alternatives, but simply to test whether or not it is applicable in the real world. This is an exploratory research study: rather than testing a specific hypothesis, my goal is to let the data speak for itself.

The main difficulty with assessing CAPM is that there is no consensus on how much data we ought …