A critical appraisal on the evolution of stock returns theory

Abstract

This study aims to describe and understand the evolution of the asset pricing theory. It is helpful to understand the state we encounter ourselves to observe the path and tendencies from the literature. The methodology used in this paper is a review of the literature with the perspective of the theorist, that is, focusing on the ideas that remained on scrutiny today over the ones that were important in the past. The results encountered show the evolution and patterns presented mainly in four key research aspects of the theory: stock market volatility, asset pricing tests, model properties and the search for variables that explain stock returns.