Why the CAPM is half-right and everything else is wrong

Smith, Tom and Walsh, Kathleen (2013) Why the CAPM is half-right and everything else is wrong. Abacus, 49 Suppl.1: 73-78. doi:10.1111/j.1467-6281.2012.00387.x

Author Smith, Tom
Walsh, Kathleen
Title Why the CAPM is half-right and everything else is wrong
Journal name Abacus   Check publisher's open access policy
ISSN 0001-3072
Publication date 2013-01
Year available 2012
Sub-type Article (original research)
DOI 10.1111/j.1467-6281.2012.00387.x
Volume 49
Issue Suppl.1
Start page 73
End page 78
Total pages 6
Place of publication Richmond, Vic., Australia
Publisher Wiley-Blackwell Publishing
Collection year 2013
Language eng
Abstract The global financial crisis has caused many academics to question the validity of market efficiency and the CAPM.A recent example of this is Dempsey (2013).We pick up on two central tenets of Dempsey’s paper—market efficiency and the status of the CAPM—and provide a critique.With respect to market efficiency, we argue that it is still very difficult to make abnormal returns from publicly available information and thus the basic tenet of market efficiency still holds.With respect to asset pricing models, we argue that the CAPM is still the reigning champion of asset pricing models and the belief that unless a model works 100% of the time that it should be rejected for an unspecified alternative is misplaced. In the spirit of a lively discussion we argue that the CAPM is half-right and everything else is wrong.
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status UQ
Additional Notes Article first published online: 3 DEC 2012

Document type: Journal Article
Sub-type: Article (original research)
Collections: Official 2013 Collection
UQ Business School Publications
Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 8 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 9 times in Scopus Article | Citations
Google Scholar Search Google Scholar
Created: Wed, 12 Dec 2012, 16:06:47 EST by Karen Morgan on behalf of UQ Business School