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One of the problems in testing the validity of the two-parameter CAPM is thedetermination of an efficient proxy marketportfolio to represent the true market portfolio. We test the mean-variance efficiency of apre-specified market portfolio by using a methodproposed by Roll (1976) for testing the linear relation between the rate of return of anasset and its beta, and hence the mean-variance efficiency of a proxy market portfolio. Thisprocedure exploits the asymptotic exact linearity condition of the rate of return and betaby measuring the rate of decrease of cross-sectional residual variance with respect toincreasing time-series sample size. The technique is applied to samples of companies on theParis Stock Exchange for the period 1969-1978: 144 companies and twenty-nine different timeseries. The results indicate that although the sum of the squared residuals of a CAPM-typeregression declines as the number of time observations increases, the sum of the squaredresiduals does not approach zero as the temporal sample size increases, as would be requiredfor the market proxy of our pre-specified sample to be efficient

Une méthode asymptotique pour tester la validité du modèle d’équilibre d’actifs financiers (MEDAF) avec pour exemple la bourse de Paris