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Why the CAPM is Half-Right and Everything Else is Wrong

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  • Tom Smith
  • Kathleen Walsh

Abstract

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  • Tom Smith & Kathleen Walsh, 2013. "Why the CAPM is Half-Right and Everything Else is Wrong," Abacus, Accounting Foundation, University of Sydney, vol. 49, pages 73-78, January.
    • Handle: RePEc:bla:abacus:v:49:y:2013:i::p:73-78
    DOI: 10.1111/abac.2013.49.issue-s1
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    Citations

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    Cited by:

    1. Robert Faff, 2014. "Alpha," Journal of Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, vol. 13(4), pages 607-622, December.
    2. Michael G. Marsh & Marc Muchnick, 2019. "Asset Pricing Model Estimation Errors During Rational And Irrational Investor Behavior Periods," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 13(2), pages 45-69.
    3. Jianlei Han & Martina Linnenluecke & Zhangxin Liu & Zheyao Pan & Tom Smith, 2019. "A general equilibrium approach to pricing volatility risk," PLOS ONE, Public Library of Science, vol. 14(4), pages 1-18, April.
    4. Richard Anthony Kent & Di Bu, 2020. "The importance of cash flow disclosure and cost of capital," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(S1), pages 877-908, April.
    5. Martina K. Linnenluecke & Tom Smith & Yun Shen & Yushu Zhu & Zini Liang, 2020. "What Does the CAPM Say About Operating Leverage?," Abacus, Accounting Foundation, University of Sydney, vol. 56(2), pages 288-291, June.
    6. Mike Dempsey, 2014. "The Modigliani and Miller Propositions: The History of a Failed Foundation for Corporate Finance?," Abacus, Accounting Foundation, University of Sydney, vol. 50(3), pages 279-295, September.
    7. Pawel Bilinski & Danielle Lyssimachou, 2014. "Risk Interpretation of the CAPM's Beta: Evidence from a New Research Method," Abacus, Accounting Foundation, University of Sydney, vol. 50(2), pages 203-226, June.
    8. Peter C. Dawson, 2015. "The capital asset pricing model in economic perspective," Applied Economics, Taylor & Francis Journals, vol. 47(6), pages 569-598, February.
    9. Qiang Bu, 2020. "Investor Sentiment and Mutual Fund Alpha," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 21(1), pages 57-65, January.
    10. Mike Dempsey, 2013. "The CAPM : A Case of Elegance is for Tailors?," Abacus, Accounting Foundation, University of Sydney, vol. 49, pages 82-87, January.
    11. Gregory, Alan & Hua, Shan & Tharyan, Rajesh, 2018. "In search of beta," The British Accounting Review, Elsevier, vol. 50(4), pages 425-441.
    12. Jeffrey J. Coulton & Tami Dinh & Andrew B. Jackson & Tom Smith, 2016. "The impact of sentiment on price discovery," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 56(3), pages 669-694, September.
    13. Kathleen Walsh, 2015. "The investment horizon and asset pricing models," Australian Journal of Management, Australian School of Business, vol. 40(2), pages 277-294, May.
    14. Nick Inglis & Bruce Vanstone & Tobias Hahn, 2019. "Modelling momentum winner/loser asymmetry: the sources of winner and loser returns in the ASX200 and S&P500," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 59(S1), pages 657-684, April.
    15. Guilherme Belloque & Martina K Linnenluecke & Mauricio Marrone & Abhay K Singh & Rui Xue, 2021. "55 years of Abacus: Evolution of Research Streams and Future Research Directions," Abacus, Accounting Foundation, University of Sydney, vol. 57(3), pages 593-618, September.
    16. Adrian Gepp & Geoff Harris & Bruce Vanstone, 2020. "Financial applications of semidefinite programming: a review and call for interdisciplinary research," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 3527-3555, December.

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