Sensitivity of Multivariate Tests of the Capital Asset‐Pricing Model to the Return Measurement Interval
检验了资本资产定价模型（CAPM）中风险与收益的关系是否受收益测量间隔影响。使用月度与年度收益数据对市值排序的投资组合进行多变量检验，发现月度数据拒绝CAPM，而年度数据不拒绝。
ABSTRACT The capital asset‐pricing model's (CAPM) primary empirical implication is a positively sloped linear relation between a security's expected rate of return and its relative risk (beta). Recent research indicates that inferences about the risk‐return relation are sensitive to the choice of the return measurement interval. We perform multivariate tests of the Sharpe‐Lintner CAPM using monthly and annual returns on market‐value‐ranked portfolios. The CAPM is rejected using monthly returns, a result consistent with previous research. In contrast, we fail to reject the CAPM when annual holding period returns are used.