The Capital Asset Pricing Model: A Static Single Regression to a Dynamic Multi-Regression Model: US, UK and Australia: 1973 to 2017

The capital asset pricing model (CAPM, 1964), and its successors (1993, 2015), present a primary theory of equity valuation and risk. Questions of the model include empirical under-performance, anomalous outcomes, constrained assumptions, uncertainties in the market coefficient, and absence of a completed theory. Structure of the benchmark CAPM is found to be limited and static. By comparison, a dynamic multi-regression model is tested successfully, the model incorporating asymmetric, reverting, and cycle-varying properties, behavioural and market-status influences, a discount rate measure of risk, and a dual profile of risk. The extended model provides a more complete macrofinance framework for investors and researchers.