Robust informational tests on the CAPM
Küçük Resim Yok
Tarih
2001
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Routledge
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
The paper demonstrates the existence of an independent informational content in the Capital Asset Pricing Model (CAPM) that financial analysts are not fully utilizing in their forecast-generating mechanism. This existence is discovered by regressing actual values of five-year firm earnings growth against financial analysts' ex-ante forecasts and simulated ex-ante forecasts generated by the CAPM. Regressions are run over a cross-section of firms for each of four adjacent five-year horizons: January 1982-1987; 1983-1988; 1984-1989; 1985-1990. In three out of four test periods, the coefficient of the CAPM forecasts is significantly positive. This is essentially the same experiment with the same results as obtained previously, with one exception: a diagnostic analysis and corrective procedures are performed and results are generated that are heteroscedasticity-robust.
Açıklama
Anahtar Kelimeler
Consistent Covariance-Matrix, Heteroskedasticity, Forecasts
Kaynak
Applied Economics Letters
WoS Q Değeri
Q4
Scopus Q Değeri
Q2
Cilt
8
Sayı
2
