A look at the validity of the CAPM in light of equity market anomalies: the case of Belgian common stocks
Author: Hawawini, Gabriel ; Corhay, Albert ; Michel, PierreINSEAD Area: Finance In: Reappraisal of the efficiency of financial markets - Guimarães, Rui M. C. - 1989 - Book Language: EnglishDescription: p. 143-164.Type of document: INSEAD ChapterNote: Please ask us for this itemAbstract: We re-examine the pricing of common stocks on the Belgium Stock Exchange in light of two related phenomena recently reported in the literature: the size effect and risk-premia seasonality. When these two phenomena are ignored we cannot reject the hypothesis that the behavior of common stock prices conform to the CAPM. However, when size and seasonality are accounted fir in the stochastic process that generates stovk returns, the hypothesis that the CAPM describes (and explains) the pricing of common stocks must be rejected, even during the month of January despite the presence of a positive systematic risk premium and the absence of an unsystematic risk premium during that month.| Item type | Current location | Collection | Call number | Status | Date due | Barcode | Item holds |
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Digital Library | Available | BC007785 |
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We re-examine the pricing of common stocks on the Belgium Stock Exchange in light of two related phenomena recently reported in the literature: the size effect and risk-premia seasonality. When these two phenomena are ignored we cannot reject the hypothesis that the behavior of common stock prices conform to the CAPM. However, when size and seasonality are accounted fir in the stochastic process that generates stovk returns, the hypothesis that the CAPM describes (and explains) the pricing of common stocks must be rejected, even during the month of January despite the presence of a positive systematic risk premium and the absence of an unsystematic risk premium during that month.
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