Can We Use the CAPM as an Investment Strategy?: An Intuitive CAPM and Efficiency Test

• Autores: Fernando Gómez-Bezares Pascual, Luis Ferruz Agudo, María Vargas Magallón
• Localización: Handbook of Financial Econometrics and Statistics / coord. por Cheng-Few Lee, John C. Lee, 2015, ISBN 978-1-4614-7749-5, págs. 751-789
• Idioma: inglés
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• Resumen

  • The aim of this chapter is to check whether certain playing rules, based on the undervaluation concept arising from the CAPM, could be useful as investment strategies, and can therefore be used to beat the Market. If such strategies work, we will be provided with a useful tool for investors, and, otherwise, we will obtain a test whose results will be connected with the Efficient Market Hypothesis (EMH) and with the CAPM.

    The basic strategies were set out in Gómez-Bezares, Madariaga, and Santibáñez (Análisis Financiero 68:72–96, 1996). Our purpose now is to reconsider them, to improve the statistical analysis, and to examine a more recent period for our study.

    The methodology used is both intuitive and rigorous: analyzing how many times we beat the Market with different strategies, in order to check whether beating the Market happens by chance. Furthermore, we set out to study, statistically, when and by how much we beat it, and to analyze whether this is significant.