Roll's Critique

Definition:

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.

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

Term of the Day

Expected future return

The return that is expected to be earned on an asset in the future. Also called the expected return.

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