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Abstract
In this paper we test the robustness of the CAPM to two alternative estimation procedures: the Fama and MacBeth (1973) two-step methodology; and the one-step methodology due to Burmeister and McElroy (1988). For the UK stock market we find that we can clearly reject the CAPM when the two-step procedure is used, but find overwhelming support for the CAPM when we use the one-step estimator. Since, in their influential paper, Fama and French (1992) reject the CAPM for the US stock market using a variant of the two-step estimator, we believe that our results for the UK may have important implications for the 'Is Beta dead?' debate