• DOI:10.3905/jwm.2017.20.1.126
Corpus ID: 157283776

The One: A Simulation of CAPM Market Returns

@article{French2017TheOA,
  title={The One: A Simulation of CAPM Market Returns},
  author={J. French},
  journal={The Journal of Wealth Management},
  year={2017},
  volume={20},
  pages={126 - 147}
}

J. French

Published 2017

Economics

The Journal of Wealth Management

This study presents a new method for calculating beta through a back-solving process, which assumes the capital asset pricing model (CAPM) to be absolute. This process has improved asset pricing abilities and allows for the discovery of the “one true” market returns. The market portfolio returns required for CAPM to be accurate are then calculated and compared with eight popular financial distributions and five market proxies. The overall best distribution to use for CAPM market returns is the… CONTINUE READING

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