Hostname: page-component-78c5997874-mlc7c Total loading time: 0 Render date: 2024-11-15T13:26:35.107Z Has data issue: false hasContentIssue false
  • English
  • Français

The Capital Asset Pricing Model Expressed as a Recursive System: An Empirical Investigation

Published online by Cambridge University Press:  19 October 2009

Cheng F. Lee  and
William P. Lloyd
Get access Rights & Permissions [Opens in a new window]

Extract

The simultaneity of security price determination has been recognized for many years. Lintner [6], Lerner and Carleton [5], Mossin [9], Sharpe [10], Tobin [15], and others have all advocated that securities be treated in a portfolio sense implying security prices are determined simultaneously. The empirical work in finance is just beginning to deal formally with this simultaneity.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 11 , Issue 2 , June 1976 , pp. 237 - 249
Copyright
Copyright © School of Business Administration, University of Washington 1976

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Cohen, K., and Pogue, J.. “An Empirical Evaluation of Alternative Portfolio Selection Models.” Journal of Business (April 1967), pp. 166–193.CrossRefGoogle Scholar
[2]Elton, E., and Gruber, M.. “Improved Forecasting through Design of Homogeneous Groups.” Journal of Business (October 1971), pp. 432–450.CrossRefGoogle Scholar
[3]Jensen, M. C. “Risk, the Pricing of Capital Assets, and the Evaluation of Investment Portfolios.” Journal of Business (April 1969), pp. 167–247.CrossRefGoogle Scholar
[4King, B. “Market and Industry Factors in Stock Price Behavior.” Journal of Business (January 1966), pp. 139–190.CrossRefGoogle Scholar
[5]Lerner, E., and Carleton, W.. A Theory of Financial Analysis. New York: Harcourt, Brace, and World (1966).Google Scholar
[6]Lintner, J. “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets.” Review of Economics and Statistics (February 1965), pp. 13–37.CrossRefGoogle Scholar
[7]Markowitz, H.Portfolio Selection: Efficient Diversification of Investments. New York, New York: John Wilev and Sons, Inc. (1959).Google Scholar
[8]Miller, M., and Modigliani, F.. “Some Estimates of the Cost of Capital to the Electric Utility Industry.” American Economic Review (June 1966), pp. 334–391.Google Scholar
[9]Mossin, J. “Equilibrium in a Capital Asset Market.” Econometrica (April 1968), pp. 215–229.Google Scholar
[10]Sharpe, W. “Capital Asset Prices: A Theory of Market Ecruilibrium under Conditions of Risk.” Journal of Finance (September 1964), pp. 425–442.Google Scholar
[11]Sharpe, W. “A Simplified Model for Portfolio Analysis.” Management Science (January 1963), pp. 277–293.CrossRefGoogle Scholar
[12]Simkowitz, M., and Jones, C.. “A Note of the Simultaneous Mature of Finance Methodology.” Journal of Finance (March 1972), pp. 103–109.CrossRefGoogle Scholar
[13]Simkowitz, M., and Logue, D.. “The Interdependent Structure of Security Returns.” Journal of Financial and Quantitative Analysis (March 1973), pp. 259–272.CrossRefGoogle Scholar
[14]Theil, H.Principles of Econometrics. New York: John Wiley and Sons, Inc. (1971).Google Scholar
[15]Tobin, J. “Liquidity Preferences of Behavior toward Risk.” Review of Economic Studies (February 1958), pp. 65–86.CrossRefGoogle Scholar
[16]Wold, H. “Causalitv and Econometrics.” Econometrica, vol. 22 (1954), pp. 162–177.CrossRefGoogle Scholar