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Overview of Investigation
•Tests of the single factor CAPM or APT Model
•Tests of the Multifactor APT Model
• Results are difficult to interpret
• Studies on volatility of returns over time
Tests of the Single Factor Model
Tests of the expected return beta relationship:
First Pass Regression
Estimate beta, average risk premiums and
unsystematic risk.
Second Pass: Using estimates from the first pass to
determine if model is supported by the data.
Most tests do not generally support the single factor
model.
Single Factor Test Results
Return %
Predicted
Actual
Beta
Roll’s Criticism
•The only testable hypothesis is on the efficiency of the market
portfolio.
• Benchmark error
Measurement Error in Beta
• Statistical property
• If beta is measured with error in the first stage, second stage results
will be biased in the direction the tests have supported.
•Test results could result from measurement error.
Jaganathan and Wang Study
• Included factors for cyclical behavior of betas and human capital.
• When these factors were included the results showed returns were a
function of beta.
• Size is not an important factor when cyclical behavior and human
capital are included.
Tests of the Multifactor Model
• Chen, Roll and Ross 1986 Study
• Factors
• Growth rate in industrial production
• Changes in expected inflation
• Unexpected inflation
• Changes in risk premiums on bonds
• Unexpected changes in term premium on bonds
Study Structure Results
•Method: Two -stage regression with portfolios
constructed by size based on market value of equity.
•Findings
•Significant factors: industrial production, risk
premium on bonds and unanticipated inflation.
•Market index returns were not statistically
significant in the mul
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