{"title":"Analysis of Size and Momentum Anomalies in CAPM","authors":"Ziqi Wan","doi":"10.2991/assehr.k.211209.108","DOIUrl":null,"url":null,"abstract":"By assuming a linear relationship between expected returns and Beta (Beta is always positive), CAPM provides a powerful and direct prediction on how to measure the relationship between expected returns and risk [1]. However, CAPM still has drawbacks. On average, smaller companies have higher risk-adjusted returns than larger companies [2], which proves that CAPM is wrong. De Bondt and Thaler also find that CAPM cannot explain the abnormal returns between \"winner\" and \"loser\" stocks [3]. Based on the above information, this study aims to analyze size and momentum anomalies, and evaluate the performance of CAPM based on different sizes and momentum stocks.","PeriodicalId":322864,"journal":{"name":"Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)","volume":"3 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2991/assehr.k.211209.108","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
By assuming a linear relationship between expected returns and Beta (Beta is always positive), CAPM provides a powerful and direct prediction on how to measure the relationship between expected returns and risk [1]. However, CAPM still has drawbacks. On average, smaller companies have higher risk-adjusted returns than larger companies [2], which proves that CAPM is wrong. De Bondt and Thaler also find that CAPM cannot explain the abnormal returns between "winner" and "loser" stocks [3]. Based on the above information, this study aims to analyze size and momentum anomalies, and evaluate the performance of CAPM based on different sizes and momentum stocks.
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