SSRN-How the Inflation Illusion Killed the CAPM by Randolph Cohen, Christopher Polk, Tuomo Vuolteenaho
Wow! It seems like I say that frequently, but what this paper definitely deserves a wow.
CAPM is dead. We know that. Only the most optimistic of those (myself included) hold out hope of its recovery.
Its death has been widely reported since Fama and French (1992). However, that does more to
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