TY - JOUR T1 - The One: <em>A Simulation of CAPM Market Returns</em> JF - The Journal of Wealth Management SP - 126 LP - 147 DO - 10.3905/jwm.2017.20.1.126 VL - 20 IS - 1 AU - Jordan French Y1 - 2017/04/30 UR - https://pm-research.com/content/20/1/126.abstract N2 - This study presents a new method for calculating beta through a back-solving process, which assumes the capital asset pricing model (CAPM) to be absolute. This process has improved asset pricing abilities and allows for the discovery of the “one true” market returns. The market portfolio returns required for CAPM to be accurate are then calculated and compared with eight popular financial distributions and five market proxies. The overall best distribution to use for CAPM market returns is the Student t-distribution. This study also contributes to the literature that the market proxies used are inefficient and adversely affect the results used in other studies to discredit the CAPM.TOPICS: Portfolio theory, portfolio construction, statistical methods ER -