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Bias in Fitting the Sharpe Model to Time Series Data

Published online by Cambridge University Press:  19 October 2009

Richard Roll
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Extract

The Sharpe model of capital asset pricing under conditions of risk has received wide theoretical acclaim and empirical support. This paper presents an econometric study of the model with the following objectives: (a) to show the effect of measuring the model's independent variables incorrectly; (b) to derive and use a new procedure for empirically testing the adequacy of the model as it is currently formulated.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 4 , Issue 3 , September 1969 , pp. 271 - 289
Copyright
Copyright © School of Business Administration, University of Washington 1969

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References

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