Đây có phải là kinh nghiệm đại diện? Một cuốn sách mới của ba giáo sư tại Trường Kinh doanh London, Elroy Dimson, Paul Marsh, và Mike Staunton, mở rộng các chứng cứ của Hoa Kỳ sang các nước khác và thời gian còn thời gian. Kết luận của họ được tiêu đề của cuốn sách, chiến thắng của các | Bodie-Kane-Marcus Essentials of Investments Fifth Edition II. Portfolio Theory 7. Capital Asset Pricing and Arbitrage Pricing Theory The McGraw-Hill Companies 2003 7 Capital Asset Pricing and Arbitrage Pricing Theory 235 TABLE Regression analysis for stock B Alpha Stock B Beta Stock B Coefficients Standard Error t Stat Residual Output Stock B Observation Predicted B Residuals Actual Returns 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 Observe from the regression statistics in Tables and that the beta of stock A is estimated at versus the true value of and the beta of stock B is estimated at versus the true value of . The regression also shows estimates of alpha as for A and for B versus a true value of zero for both stocks but the standard error of these estimates is large and their i-values are low indicating that these are not statistically significant. The regression estimates allow us to plot the security characteristic line SCL for both stocks shown in Figure for stock A and Figure for stock B. The CAPM representation of the securities is shown in Figures and . Figure shows the security market line SML supported by the risk-free rate and the market index. Stock A has a negative estimated alpha and is therefore below the line. This suggests that stock A is overpriced that is its expected return is below that which can be obtained with efficient portfolios and the risk-free rate. The negative estimated alpha is due
