Risk, Return, and Equilibrium: A Revisit
检验了两参数资本资产定价模型的主要含义，发现1935-82年间股票回报与系统性风险的关系存在重要非线性，且这些非线性不能归因于公司规模或一月季节性，结果对市场组合代理变量的选择敏感。
This paper reports the results of tests of the major implications of the two-parameter capital asset pricing model. The findings indicate that the relationship between stock returns and systematic risk contains important nonlinearities during 1935-82. These nonlinearities cannot be ascribed to previously documented anomalies related to firm size or January seasonality. Moreover, the test results appear to be sensitive to the choice of the proxy for the market portfolio.