Risk and Return: An Experimental Analysis
通过一项可产生真实盈亏的投资实验，检验资本资产定价模型（CAPM）及其广义形式，发现风险与回报存在强正相关，且广义CAPM的贝塔值表现最佳。
An investment experiment in which a real monetary profit or loss can occur is designed to test the capital asset pricing model (CAPM) and the generalized CAPM (segmented market model) with ex-ante parameters. Risk and return are found to be strongly associated. While in most cases the generalized CAPM beta provides the best results, the CAPM beta (and even the individual asset's variance, being a good proxy to the generalized CAPM beta) reveals a strong positive association with mean returns. The author concludes that the risk-return equilibrium model is not dead; it is alive and doing better than previous empirical studies have revealed. Copyright 1997 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.