Hostname: page-component-669899f699-vbsjw Total loading time: 0 Render date: 2025-04-26T16:06:04.321Z Has data issue: false hasContentIssue false
  • English
  • Français

Bivariate Spectral Analysis of the Capital Asset Pricing Model

Published online by Cambridge University Press:  06 April 2009

Michael A. Goldberg  and
Ashok Vora
Get access Rights & Permissions [Opens in a new window]

Extract

Ever since Markowitz introduced the concept of portfolio theory in 1952, one of the questions predominant in the minds of financial theorists has been the constituency of the investor's optimal asset portfolio. Research into this area, which became known as capital market theory, attempted to analyze the equilibrium relationships between assets. One of the products of this research was the widely accepted Capital Asset Pricing Model (CAPM) of Sharpe and Lintner.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 13 , Issue 3 , September 1978 , pp. 435 - 459
Copyright
Copyright © School of Business Administration, University of Washington 1978

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.)

Article purchase

Temporarily unavailable

References

REFERENCES

[1]Black, F. “Capital Market Equilibrium with Restricted Borrowing.” Journal of Business, Vol. 45, No. 3 (07 1972), pp. 444–454.CrossRefGoogle Scholar
[2]Black, F.; Jensen, M. C.; and Scholes, M.. “The Capital Asset Pricing Model: Some Empirical Tests”. In Studies in the Theory of Capital Markets, edited by Jensen, M. C.. New York: Praeger Publishers (1972).Google Scholar
[3]Blume, M. E. “The Assessment of Portfolio Performance.” Ph.D. dissertation, University of Chicago (1968).Google Scholar
[4]Blume, M. E. “On the Assessment of Risk.” Journal of Finance, Vol. 1, No. 1 (03 1971), pp. 1–10.CrossRefGoogle Scholar
[5]Box, G. E., and Jenkins, G. M.. Time Series Analysis: Forecasting and Control. San Francisco: Holden-Day, Inc. (1970).Google Scholar
[6]Douglas, G. W. “Risk in the Equity Markets: An Empirical Appraisal of Market Efficiency.” Yale Economic Essays, Vol. 9 (Spring 1969), pp. 3–45.Google Scholar
[7]Fama, E. F., and MacBeth, J.. “Risk, Return and Equilibrium: Empirical Tests.” Journal of Political Economy, Vol. 81, No. 3 (05 1973), pp. 607–636.CrossRefGoogle Scholar
[8]Fisher, L. “The Estimation of Systematic Risk: Some New Findings.” Proceedings of the Seminar on the Analyses of Security Prices, University of Chicago (05 1970).Google Scholar
[9]Fishman, G. S.Spectral Methods in Econometrics. Cambridge, Massachusetts: Harvard University Press (1969).CrossRefGoogle Scholar
[10]Friend, I., and Blume, M.. “Measurement of Portfolio Performance under Uncertainty.” American Economic Review, Vol. 60, No. 4 (09 1970), pp. 561–575.Google Scholar
[11] Gonedes, N. “Evidence on the Information Content of Accounting Numbers: Accounting-Based and Market-Based Estimates of Systematic Risk.” Journal of Financial and Quantitative Analysis, Vol. 8 (06 1973), pp. 407–444.CrossRefGoogle Scholar
[12]Jensen, M. C. “Capital Markets: Theory and Evidence.” Bell Journal of Economics and Management Science, Vol. 3, No. 2 (Autumn 1972), pp. 357–398.Google Scholar
[13]Johnston, J.Econometric Methods. New York: McGraw Hill (1960).Google Scholar
[14]Levy, R. A. “Stationarity of Beta Coefficients.” Financial Analysts Journal, Vol. 27, No. 4 (11–12 1971), pp. 55–62.CrossRefGoogle Scholar
[15]Lintner, J. “Security Prices, Risk, and Maximal Gains from Diversification.” Journal of Finance, Vol. 20, No. 5 (12 1965), pp. 587–616.Google Scholar
[16]Markowitz, H. “Portfolio Selection.” Journal of Finance, Vol. 7, No. 1 (03 1952), pp. 77–91.Google Scholar
[17]Miller, M. H., and Scholes, M.. “Rates of Return in Relation to Risk: A Reexamination of Some Recent Findings.” In Studies in the Theory of Capital Markets, edited by Jensen, M. C.. New York: Praeger Publishers (1972).Google Scholar
[18]Porter, R. B., and Ezzell, J. R.. “A Note on the Predictive Ability of Beta Coefficients.” Journal of Business Research, Vol. 3, No. 4 (10 1975), pp. 365–372.CrossRefGoogle Scholar
[19]Sharpe, W. F.Portfolio Theory and Capital Markets. New York: McGraw-Hill (1970).Google Scholar
[20]Yaglom, A. M.An Introduction to the Theory of Stationary Random Functions. Translated from Russian by Silverman, R. A.. Englewood Cliffs, New Jersey: Prentice-Hall, Inc. (1962).Google Scholar