Risk, Return, and Equilibrium: Empirical Tests
Has this study been replicated?
The atlas records 1 reproduction of this study. Recorded outcomes: 1 mixed.
Reproductions
- Fama MacBeth 1973: Reproduction, extension, robustification, Bailer & Martin (2007). Journal of Economic and Social Measurement. Outcome recorded: computation not checked, robustness challenges.
Robustness: While FM's conclusions on non-linearity and non-beta related risk could be confirmed, the conclusions of having, on average, a positive risk and return trade-off could not be confirmed.
Read from Robustness: abstract. View paper
Cite this record
Fama, E. F., & MacBeth, J. D. (1973). Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy, 81(3), 607–636. https://doi.org/10.1086/260061
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