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An analysis of asset pricing models using out of sample data from the NYSE: 1900-1925
  • Autor(es) Miguel Cantillo Simon and Nick Wonder
  • Enlace   IR AL ARCHIVO
  • Tipo Artículo
  • Fecha de
    Julio 2019


This paper uses financial data from 1900 to 1925 to run out of sam-ple tests of different asset pricing models. We find that we cannot re-ject the strong predictions of Sharpe’s (1964) CAPM, but that there areportfolios with significant alphas that violate Sharpe’s CAPM weak pre-dictions. The Black (1972) version of the CAPM performs worse thanSharpe’s counterpart. We also test the Fama French Carhart framework,and find that only the market and size factors work as with modern data.The value factor is statistically insignificant, and the momentum factor,while significant, has the opposite sign of the modern momentum factor.