Construct · 1 fields · 1 citations

Roll critique: a standalone construct

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Asset pricing

the argument that the CAPM cannot be tested properly because the true market portfolio of all assets is unobservable, so proxy tests are ambiguous.

In asset pricing, Roll critique refers to the argument that the CAPM cannot be tested properly because the true market portfolio of all assets is unobservable, so proxy tests are ambiguous. This meaning comes from Roll (1977) in Journal of Financial Economics.[1]

Unit
Recovery means
Measured by

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Nearby constructs

argument3 fields · 3 citationsjingle · one word, three constructs asset2 fields · 2 citationsjingle · one word, two constructs market3 fields · 5 citationsjingle · one word, three constructs

References

Roll, R. (1977). A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory. Journal of Financial Economics, 4(2), 129-176. https://doi.org/10.1016/0304-405x(77)90009-5

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