The CAPM is wanted Dead or Alive V. Conclusions Confirming Banz(1981), sorts on size and B like those in KSS or our Tables Il and III consistently reject the central CAPM hyg,the pothesis that B suffices to plain expected return. Moreover, in recent year size effect has been displaced as the prime embarrassment of the CAPM. There is much evidence Cross-Section Regressions for 100 Equal-Weight Size-B Portfolios 1928-1993, R=a+ bB+sLn(Size)+e In June of each year beginning in 1927, NYSE stocks on CRSP are sorted into size deciles, which are then subdivided into B deciles(see Table II). Equal-weight monthly returns on the 100 ortfolios are calculated from July to June of the following year. Annual returns are obtained by mounding the equal-weight monthly returns. Panel a shows the average slopes(Means)and heir t-statistics from univariate cross-section regressions of monthly and annual postformal mple returns on the 100 size-B portfolios on six estimates of their 1928-1993 postformation Bs nd biva ate regressions of the 100 portfolio returns on their of the average size of the stocks in each of the 100 portfolios at the end of the previ ous month or year. The Bs are estimated using all postformation monthly (vw, vw-s, EW, Ew-S)or annual WA, 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 size- B portfolio returns on the current and one lag of the market return. VW, VWA, EW, and EWa Bs use only the contemporaneous market returns. The verage slopes in the cross-section regressions of returns on Ln(Size)alone(not shown)are-0 19 (t=-3.60) for monthly returns and-2.67(t =-323)for annual returns. Panel B shows the average residuals from the univariate regressions of monthly (annual)returns on the vw-s(vwa Bs. The Ave column of each block in part B is the average across B deciles of the average residuals for a size decile. The Ave row of each block is the average across size deciles of the average residuals for a B decile Panel A: Regression Coefficients Annual Dependent Returns: 66 Years VW VW-S VWA EW EW-S VWA VW VW-S VWA EW EW-S EWA 0.500.360.17 7.26 5.615.333.47 b0.650.700.84 083 11.56118413.73 6215122682238342315216226238 43.46372743.41409729.30 292.710.371.486.29 0.18 01 0.16-0.17-0.15-0.13 2.75-2.65-2.28-2.64-248-1.69 Statistics for Means t-Statistics for means 5.665.404.98 4.584.824.504,434,3 b0.400.62 831.46 0.110.790.110.431,43 -4.16-4.1 4.02-3.78-3.47 -3.67-3.88-3.61-3.56-363