Stock return dynamics and the CAPM anomalies

Abstract

In this study the chaotic properties of stocks were calculated at the firm level rather than focusing on the properties of indices. The dominant Lyapunov exponent and the Correlation Dimension were estimated for weekly returns to individual stocks, and the relationships between these and the firm characteristics size (market value) and book-to-market-equity (BME) ratio were examined. Size was found to have an effect on the dynamic characteristics of the stocks, but BME had no statistically significant impact.