In empirical tests of the CAPM in excess return form,the intercept in a regression of average returns against beta should be:

A) Zero
B) one
C) the risk-free rate
D) none of the above

Name: In empirical tests of the CAPM in excess return form,the intercept in a regression of average returns against beta should be: A) Zero B) one C) the risk-free rate D) none of the above
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Question

In empirical tests of the CAPM in excess return form,the intercept in a regression of average returns against beta should be:

A) Zero
B) one
C) the risk-free rate
D) none of the above

Quizplus · Accepted Answer

The intercept should be zero.That is,the CAPM should completely explain the expected returns of the portfolio.

In Empirical Tests of the CAPM in Excess Return Form,the