macrocephalopod

Daily returns on R1000 stocks since 1999. Point-in-time (no survivorship bias). Removed obvs with price < $5 or volume < 0. Observations: 5,541,053 AR Mean: 0.055% Geo Mean: 0.020% Stdev: 2.625%

Avg risk free rate (3 month bills) was 0.589% over that period. Which is 0.002% per day. I'm not 100% sure what you're expecting to see here so I haven't tried to interpret this for you.

Here is the data summarised by ticker. https://filebin.net/ctycg7t0rgpozadj/byticker.csv?t=ek9bfpdq … Note the observations column... Stocks go in and out of the index so some stocks have lots of observations and others much fewer.

So somewhat near 1. I'm not sure if 20 years is enough to get a full convergence. I used 70 years of data in my post. I think its a coincidence that the two meathods nearly equally flank 1 on each side.

Well, using your method of corroborating a theory CAPM has been corroborated 100% perfectly. Weighted average beta for all stocks=1, weighted average excess return = market excess return. But that's not how people judge CAPM, and it's not how people will judge your theory.

"Weighted average beta for all stocks=1, weighted average excess return = market excess return" Are either of these true? I sent you a screen last week which made is seem like the first certainly wasn't true.