Finding 6052Emerging EvidenceValidation V0
This paper introduces a pragmatic test for the joint-hypothesis problem: assess alphas from portfolios built solely on decade-old information, presumed efficiently priced. Leveraging persistent multifactor betas for power, it finds $CAPM$ and simple variants pass while multifactor models fail, challenging orthodoxy and elevating simpler equilibrium benchmarks for academia and practice.
72%Confidence
1Evidence objects
v1Version
DraftStatus
Evidence trail
Supporting72% linkage confidence
This paper introduces a pragmatic test for the joint-hypothesis problem: assess alphas from portfolios built solely on decade-old information, presumed efficiently priced. Leveraging persistent multifactor betas for power, it finds $CAPM$ and simple variants pass while multifactor models fail, challenging orthodoxy and elevating simpler equilibrium benchmarks for academia and practice.
key_findings bullet 4 · key_findings
Inspect source: NBER WORKING PAPER SERIES PRICING WITHOUT MISPRICING ... →This Finding was extracted from the configured corpus. It is versioned, traceable, and may evolve through editorial review or new corpus evidence.