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Comment: Systematic Risk and the Horizon Problem

Published online by Cambridge University Press:  19 October 2009

Nancy L. Jacob
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Extract

In their present paper. Professors Cheng and Deets (hereafter C-D) attempt to derive a measure of instantaneous systematic risk for securities and portfolios which is consistent with the Sharpe-Lintner-Mossin capital asset pricing model when the true market horizon is infinitesimally short. In so doing, they assert that Jensen's resolution of the horizon problem for such a market horizon is incorrect. In the comments which follow, I shall attempt first to indicate explicitly the causes for the differences in the Jensen and C–D results, and second, to evaluate their relative merits.

Type
Discussants
Information
Journal of Financial and Quantitative Analysis , Volume 8 , Issue 2 , March 1973 , pp. 351 - 354
Copyright
Copyright © School of Business Administration, University of Washington 1973

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References

[1]Jensen, Michael C. “Risk, The Pricing of Capital Assets, and the Evaluation of Investment Portfolios.” Journal of Business, April 1969, pp. 167–247.Google Scholar