On the Cross‐Sectional Relation between Expected Returns, Betas, and Size
设定CAPM成立与不成立的场景，检验用预期超额收益对贝塔或贝塔加规模回归的系数能否区分这两种场景，发现OLS或GLS回归系数均无法判断模型真伪。
In this paper, I set up scenarios where the mean‐variance capital asset pricing model is true and where it is false. Then I investigate whether the coefficients from regressions of population expected excess returns on population betas, and expected excess returns on betas and size, allow us to distinguish between the scenarios. I show that the coefficients from either ordinary least squares or generalized least squares regressions do not allow us to tell whether the model is true or false.