Читать книгу Competitive Advantage in Investing - Steven Abrahams - Страница 27

The capital asset pricing model comes along and creates a new paradigm in investing. It comes with simplicity, rigor, and direct application to practical matters. It simplifies investing into a choice between cash or other riskless assets and the market portfolio. The infinite menu of investments becomes manageable. It helps measure the performance of Wall Street's investment managers. The model even helps companies set the cost of equity capital by scaling the return on the market portfolio up or down depending on the beta of a company's stock. It quickly becomes the orthodoxy of pure finance and, over time, the most if not the only model of portfolio investing taught in business schools. But over time, the model also proves to be flawed.

All good theory needs testing in the real world, and the best tests take predictions made by theory and look for evidence in data. Theory proves itself through prediction and confirmation in observable results. The testing of CAPM started almost immediately, and the results immediately signaled that something was amiss.