Skip to main content

Extending the capital asset pricing model: the reward beta approach

Buy Article:

$43.00 plus tax (Refund Policy)


This paper offers an alternative method for estimating expected returns. The proposed reward beta approach performs well empirically and is based on asset pricing theory. The empirical section compares this approach with the capital asset pricing model (CAPM) and the Fama–French three-factor model. In out-of-sample testing, both the CAPM and the three-factor model are rejected. In contrast, the reward beta approach easily passes the same test. In robustness checks, the reward beta approach consistently outperforms both the CAPM and the three-factor model.
No References
No Citations
No Supplementary Data
No Data/Media
No Metrics

Keywords: Asset pricing; Book-to-market effect; G12; G24; G31; Reward beta; Size effect; capital asset pricing model

Document Type: Research Article

Affiliations: Department of Accounting, Finance and Economics, Griffith University, Gold Coast, 9726, Australia

Publication date: 2007-03-01

  • Access Key
  • Free content
  • Partial Free content
  • New content
  • Open access content
  • Partial Open access content
  • Subscribed content
  • Partial Subscribed content
  • Free trial content
Cookie Policy
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more