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This chapter explores the anomalies in asset prices that challenge the foundational assumptions and predictions of the CAPM. The substantial body of research dedicated to uncovering, analyzing, and addressing these anomalies has grown significantly over time, making a comprehensive review both ambitious and intricate. Therefore, we focus on the seminal contributions that have profoundly influenced the field, emphasizing key findings from empirical studies on the CAPM and its various extensions.

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Arbitrage Pricing Theory and Multifactor Models

  • 章节

  • 发表日期：

    2025年

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  • Michael Donadelli,
  • Michele Costola,
  • Ivan Gufler

摘要

This chapter explores the anomalies in asset prices that challenge the foundational assumptions and predictions of the CAPM. The substantial body of research dedicated to uncovering, analyzing, and addressing these anomalies has grown significantly over time, making a comprehensive review both ambitious and intricate. Therefore, we focus on the seminal contributions that have profoundly influenced the field, emphasizing key findings from empirical studies on the CAPM and its various extensions.