Robert F Stambaugh, a Ph.D. student at the University of Chicago, countered Roll's critique by testing the consequences of including assets such as "corporate bonds, government bonds ... housefurnishing, automobiles, and real estate" in measures of the "returns on portfolios of aggregate wealth" (Stambaugh 1982, pp. 244 and 237). The performance of the Capital Asset Pricing Model was affected, Stambaugh concluded, by the specifics of how it was tested, and some of Stambaugh's tests implied that it should be rejected.

Donald MacKenzie, An Engine, Not a Camera, loc. 406