Roll's Critique


That the CAPM holds by construction when performance is measured against a mean-variance efficient index; otherwise, it holds not at all. Attributable to Richard Roll in 1977.

Investing Essentials

Copyright © 2011 Campbell R. Harvey, Professor of Finance, Fuqua School of Business at Duke University

Term of the Day

Acid test ratio

Also called the quick ratio, the ratio of current assets minus inventories, accruals, and prepaid items to current liabilities.

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