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Comment: A Model of Capital Asset Risk

Published online by Cambridge University Press:  19 October 2009

Michael H. Hopewell
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Extract

Before I comment in detail on the paper presented by Professors Pettit and Westerfield, I will attempt to place their effort in perspective. Although I will not review the literature comprehensively, I will highlight some recent developments in the capital asset pricing literature.

Type
Discussant
Information
Journal of Financial and Quantitative Analysis , Volume 7 , Issue 2 , March 1972 , pp. 1673 - 1677
Copyright
Copyright © School of Business Administration, University of Washington 1972

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References

1 Blume, M., “On the Assessment of Risk,” Journal of Finance (March 1971).Google Scholar

2 Beaver, Kettler, and Scholes, , “The Association between Market Determined and Accounting Determined Risk Measures,” The Accounting Review (October 1970).Google Scholar

3 Friend, I. and Blume, M., “Measurement of Portfolio Performance under Uncertainty,” American Economic Review (September 1970).Google Scholar

4 Rie, Daniel, “Preliminary Test of a Theory of Market Returns When Capitalization Rates Are Variable” (unpublished manuscript, Wharton School of Finance and Commerce, University of Pennsylvania, 1970).Google Scholar

5 Brennan, Michael, “Capital Asset Pricing and the Structure of Security Returns” (unpublished manuscript, University of British Columbia, 1970.)Google Scholar