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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
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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

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References

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