; ; ; "ActiveFedora::Aggregation::ListSource" . ; . a , ; "The CAPM is Alive and Well"; ; "batchuser@example.com"; "Jagannathan, Ravi", "Wang, Zhenyu"; "Federal Reserve Bank of Minneapolis"; "Stock prices", "Capital"; "G12 - Asset Pricing; Trading Volume; Bond Interest Rates"; "In empirical studies of the CAPM, it is commonly assumed that (a) the return to the value weighted portfolio of all stocks is a reasonable proxy for the return on the market portfolio of all assets in the economy, and (b) betas of assets remain constant over time. Under these assumptions, Fama and French (1992) find that the relation between average return and beta is flat. We argue that these two auxiliary assumptions are not reasonable. We demonstrate that when these assumptions are relaxed, the empirical support for the CAPM is surprisingly strong. When human capital is also included in measuring wealth, the CAPM is able to explain 28 percent of the cross sectional variation in average returns in the 100 portfolios studied by Fama and French. When, in addition, betas are allowed to vary over the business cycle, the CAPM is able to explain 57 percent. More important, relative size does not explain what is left unexplained after taking sampling errors into account."^^; "1993-11-22"; "2018-03-13T20:08:51.605493987+00:00"^^; ; "19931100fedmsr165"; "https://creativecommons.org/licenses/by-nc/4.0/"; "2020-10-23T21:01:02.318808645+00:00"^^; "19930800fedmwp517"; "https://creativecommons.org/licenses/by-nc/4.0/"; "Research Paper"; "365", "829"; "Working paper (Federal Reserve Bank of Minneapolis. Research Department)"; "517"; "Stock prices", "Capital"; ; ; ; ; "Federal Reserve Bank of Minneapolis. Research Department"; "An updated version of this Working Paper is available as [Staff Report 165](https://doi.org/10.21034/sr.165)."^^; ; "Publication" . ; ; .