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SUMMARY:The Golden CAPM
DTSTART:20260310T121500
DTEND:20260310T131500
DTSTAMP:20260405T213012Z
UID:b0925c7ac80bddac3af43ffe6c5386bccc4794e891a064b492ae17ba
CATEGORIES:Conferences - Seminars
DESCRIPTION:Michael Hasler - University of Neuchatel\nWhen asset returns a
 re measured in ounces of gold rather than U.S. dollars\, the Capital Asset
  Pricing Model (CAPM) holds. Indeed\, regressing asset returns onto market
  betas yields an intercept that is economically small and statistically in
 distinguishable from zero. Moreover\, the slope is remarkably close to the
  average market return and statistically significant. That is\, the golden
  CAPM successfully explains the cross-section of expected returns. We show
  that denominating returns in ounces of gold improves the explanatory powe
 r of multi-factor models such as the Fama-French 3-\, 5-\, and 6-factor mo
 dels\, and the Carhart 4-factor model. Yet\, across all model-test asset c
 ombinations\, none outperforms the simple golden CAPM applied to beta-sort
 ed portfolios.
LOCATION:UNIL\, Extranef\, room 126
STATUS:CONFIRMED
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