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Published on Aug 24, 2011
Eugene Fama was an enthusiastic promoter of CAPM and the Efficient Markets Hypothesis, arguing that despite their absurd assumptions, the data supported the theories. But was this a fluke, the result of the narrow data range he used--from 1950 till 1966?
He has since disowned the theory in 2004, stating that "the theory has never been an empirical success", and that "most applications of the theory are invalid". But somehow these honest statements don't seem to have made it into the finance textbooks.