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We used portfolio sorting and Fama-MacBeth cross-sectional regression approach to test the validity of the Capital Asset Pricing Model (CAPM) in the 19th century. The CAPM is not valid in the 19th century, but we caution not to discard the model completely. Since the high fluctuations in the times' series of the slopes (coefficient of the relationship between expected returns and beta) cover the capability to reach a solid conclusion concerning validity of the CAPM. Size (price time’s shares outstanding) effects exist on the 19th century, but it disappears when stocks are value weighted to form portfolios. Detail evidence reveals that size effect is contributed by small size group of stocks, which accounts for only 0.35% of the total market size.

Size, Beta, Average Stock Return Relationship, 19th century Evidence