Which is the ‘right’ choice of the market portfolio of the CAPM?
Publikation: Beiträge in Zeitschriften › Zeitschriftenaufsätze › Forschung › begutachtet
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in: Management Studies, Jahrgang 10, Nr. 1, 31.03.2020, S. 25 - 29.
Publikation: Beiträge in Zeitschriften › Zeitschriftenaufsätze › Forschung › begutachtet
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TY - JOUR
T1 - Which is the ‘right’ choice of the market portfolio of the CAPM?
AU - Wobst, Janice
AU - Gramlich, Alexandra
AU - Röttger, Philipp
AU - Spee, Kolja
PY - 2020/3/31
Y1 - 2020/3/31
N2 - A plethora of research exists on the Capital Asset Pricing Model and how to tackle the unobservability of the true market portfolio. We contribute to this debate by providing an overview of commonly used proxies for the market portfolio embedded into a critical evaluation of these proxies. In particular, we evaluate equal- and value-weighted equity market proxies, a multi-asset approach, and a macroeconomic method. Since all proxies have strengths and weaknesses, we propose doing a case-by-case evaluation to reconcile the underlying goal of the analysis with the choice of the appropriate market proxy.
AB - A plethora of research exists on the Capital Asset Pricing Model and how to tackle the unobservability of the true market portfolio. We contribute to this debate by providing an overview of commonly used proxies for the market portfolio embedded into a critical evaluation of these proxies. In particular, we evaluate equal- and value-weighted equity market proxies, a multi-asset approach, and a macroeconomic method. Since all proxies have strengths and weaknesses, we propose doing a case-by-case evaluation to reconcile the underlying goal of the analysis with the choice of the appropriate market proxy.
KW - Management studies
KW - Capital asset priceing model
KW - market portfolio
KW - market proxy
KW - asset pricing
M3 - Journal articles
VL - 10
SP - 25
EP - 29
JO - Management Studies
JF - Management Studies
SN - 2699-1187
IS - 1
ER -