Which of the following is a testable proposition in empirical regression tests of the CAPM of average excess returns against beta?

A) The intercept is zero.
B) The beta coefficient is the market risk premium.
C) The market risk premium is greater than the risk-free rate
D) all of the aboye

Question

Which of the following is a testable proposition in empirical regression tests of the CAPM of average excess returns against beta?

A) The intercept is zero.
B) The beta coefficient is the market risk premium.
C) The market risk premium is greater than the risk-free rate
D) all of the aboye

Quizplus · Accepted Answer

The testable propositions of the CAPM are that the intercept is zero,the beta is the linear,and is equal to the market risk premium,and that over longer periods the market risk premium is greater than the risk-free rate.Hence,the only statement which is not a testable proposition is 'The relationship between beta and return is non-linear'.

Which of the Following Is a Testable Proposition in Empirical