early tests of CAPM Cross-sectional test of the model Douglas(1969) Miller and Scholes ( 1972) Black, Jensen and Scholes (1972 ); Fama and Macbeth (1973) E(R)=R+B(E[Rm]-RD) R=+y1月+e,i=12,,n Yi=R-REarly tests of CAPM • Cross-sectional test of the model: • Douglas (1969); • Miller and Scholes (1972); • Black, Jensen and Scholes (1972); • Fama and Macbeth (1973) m f f i i i i f i m f R R R R e i n E R R E R R − = + + = = + − = = ? 1 ? 0 0 1 ˆ ˆ , 1,2,..., ˆ ( ) ( [ ] ) γ γ γ γ β β