The One: A Simulation of CAPM Market Returns

  title={The One: A Simulation of CAPM Market Returns},
  author={J. French},
  journal={The Journal of Wealth Management},
  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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