If you are experiencing problems downloading PDF or HTML fulltext, our helpdesk recommend clearing your browser cache and trying again. If you need help in clearing your cache, please click here . Still need help? Email help@ingentaconnect.com

Extending the capital asset pricing model: the reward beta approach

$48.00 plus tax (Refund Policy)

Download / Buy Article:



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.

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

Document Type: Research Article

DOI: http://dx.doi.org/10.1111/j.1467-629X.2007.00202.x

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

Publication date: March 1, 2007

Related content



Share Content

Access Key

Free Content
Free content
New Content
New content
Open Access Content
Open access content
Subscribed Content
Subscribed content
Free Trial Content
Free trial content
Cookie Policy
Cookie Policy
ingentaconnect 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