The CAPM is Wanted, Dead or Alive 1951 Table i Summary Statistics and Cross-Section Regressions for Postformation Equal-Weight Returns on NYSE B Deciles: 1928-1998 Starting in 1927, ten portfolios of NYSE stocks on CRSP are formed in June of each year based or VW-SPs, the sum of the slopes from regressions of monthly returns on the current and one lag of the value-weight NYSE market return. The formation period Bs use 24 to 60 months of past return (as available), except for 1927, where 18 months are used. Equal-weight monthly postformation returns on the B deciles are calculated from July to June of the following year, yielding time-series of postformation returns for July 1927 to December 1993. The equal-weight monthly decile returns are compounded to get annual returns. The Bs shown in Panel A are estimated using all postfor mation monthly(VW, vw-S, Ew, Ew-S)or annual (VwA, EWA)returns for 1928-1993 and the value-weight (VW, VW-S, VWA)or equal-weight (EW, EW-s, EWA) NYSE market portfolio. Vw-s and EW-s Bs are the sums of the slopes from the regressions of the monthly postformation decile turns on the current and one lag of the market return. vW, VWA, EW, and EWA Bs use only the ize)is the av the average monthly value of the natural log of size(price times shares)of the stocks in a b decile Panel B shows the ge slopes(Means)and the t-statistics for the average slopes from univariate cross-section regressions of postformation monthly or annual returns on the ten B portfolio on each of the six different estimates of their postformation Bs Panel A: Summary Statistics wβ2 Highβ Monthly Postformation Returns: 792 Months Mean1.101.161.231341.391.321.331.441,451.39 5.125.766.306.997.66 11.10 Mean14911553164317,73179817.0317.1918.4418,4417.40 std2569263928.252985295230.763204359636.0340.55 Postformation B Estima 1.161271.321.351.521 1.141.241361.411.441.631.701.87 1.061.131.231331.331.371.431.5 0.780.820.890.960.95.991.02 1,16 70 12,76127 123612.16120311.73113611,00 Panel B: Cross-Section Regressions, R=a+ bB+e Monthly Dependent Returns, R Annual Dependent Returns, R VW VW-S VWA EW EW-S EWA VW VW-S VWA EW EW-S EWA a0.860.850.630.900.90 1294128910.8513.713.3211.24 b0.360.340.500410.42 t-Statistics for Means tatistics for Means a4.784.531.945.575282.143.813.722274.13404245 b1.311.291.291.291.271.251.031.001.011.010.98098