CAPM performance in the Caracas Stock Exchange from 1992 to 1998

Maximiliano, Gonzalez F.
September 2001
International Review of Financial Analysis;Sep2001, Vol. 10 Issue 3, p333
Academic Journal
The capital asset pricing model (CAPM) is tested using data of all available stocks in the Caracas Stock Exchange (CSE) from 1992 to 1998. We use a multiple regression model to test several hypotheses that lead to the validation of the CAPM. We find significant evidence to conclude that the CAPM should not be used to predict stock returns in the CSE. However, we find evidence that the model is linear and significant evidence on the existence of other factors different from beta that are important to predict returns. These results are consistent with previous studies in developed markets. Also, a practitioner approach to the CAPM is presented. (C) 2001 Elsevier Science Inc. All rights reserved.


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