Purpose – Prior work claims that the CAPM is mis‐specified based on evidence that beta and idiosyncratic variables such as size, book‐to‐market, and price‐earnings ratios combine to explain average cross‐sectional variation in stock returns. This paper set out to reexamine this...

Purpose - Prior work claims that the CAPM is mis-specified based on evidence that beta and idiosyncratic variables such as size, book-to-market, and price-earnings ratios combine to explain average cross-sectional variation in stock returns. This paper set out to reexamine this research by...