Graduate School of Business
Doctor of Business Administration (DBA)
Capital Asset Pricing Model, Systematic Risk, Beta, S&P 100
Crowe, Kacy Edward, "An Examination of the Relationship between the Capital Asset Pricing Model's Systematic Risk Indicator and Stock Returns" (2020). Doctoral Dissertations and Projects. 2323.
The purpose of this quantitative study was to examine the relationship between the Capital Asset Pricing Model’s risk indicator beta and the average monthly returns for stocks in the S&P 100. The problem addressed was that low beta stocks produced higher returns than high beta stocks. The study was conducted using the S&P 100 constituents. The study expanded the research literature regarding the beta anomaly and found a statistically significant result for an association between beta and average monthly returns for stocks in the S&P 100. The study has implications for investors and financial practitioners as to whether beta can still be used as a risk indicator.