This paper re-examines the tests of the Sharpe-Lintner Capital Asset Pricing Model (CAPM). The null that the CAPM intercepts are zero is tested for ten size-based stock portfolios and for twenty five book-to-market sorted portfolios using five-year, ten-year and longer sub-periods during...

Several recent articles find that stocks with high probabilities of bankruptcy or default earn anomalously low returns and negative unconditional CAPM alphas in the post-1980 period. I show that the conditional CAPM resolves the performance difference between high- and low-distress stocks. In...

Model selection (i.e., the choice of an asset pricing model to the exclusion of competing models) is an inherently misguided strategy when the true model is unavailable to the researcher. This paper illustrates the advantages of a model pooling approach in characterizing the cross section of...