So, you test CAPM and find evidence against this coupling. The problem is, you don’t know which of the two (or both) ideas you are rejecting. EMH may be true, but CAPM may be a poor model of how...


So, you test CAPM and find evidence against this coupling. The problem is, you don’t know which of the two (or both) ideas you are rejecting. EMH may be true, but CAPM may be a poor model of how investors set prices because there are other risk factors besides market risk.



May 24, 2022
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