The Value Premium and the CAPM
检验了价值溢价如何随公司规模变化、资本资产定价模型能否解释价值溢价，以及平均回报是否按模型预测补偿贝塔。发现Loughran和Ang与Chen的结论有特定时期和样本限制，且与规模和价值特征无关的贝塔变化在1926至2004年间未获补偿。
ABSTRACT We examine (1) how value premiums vary with firm size, (2) whether the CAPM explains value premiums, and (3) whether, in general, average returns compensate β in the way predicted by the CAPM. Loughran's (1997) evidence for a weak value premium among large firms is special to 1963 to 1995, U.S. stocks, and the book‐to‐market value‐growth indicator. Ang and Chen's (2005) evidence that the CAPM can explain U.S. value premiums is special to 1926 to 1963. The CAPM's more general problem is that variation in β unrelated to size and the value‐growth characteristic goes unrewarded throughout 1926 to 2004.