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Comment: The Interdependent Structure of Security Returns

Published online by Cambridge University Press:  19 October 2009

David F. Rush
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Extract

Professors Simkowitz and Logue (S-L) remind us that capital asset pricing is a simultaneous process. Their approach differs from traditional capital market models [3 and 6 ], where an investment's risk and return characteristics depend solely on a structural relationship between asset and market portfolio returns. Simkowitz and Logue argue that, within groups of homogeneous securities, investment returns are determined simultaneously and that market portfolio return as well as certain firm-related factors are exogeneous determinants of investment returns. This comment will, first, examine their basis for a simultaneous model and, then, look at presented empirical results.

Type
Discussants
Information
Journal of Financial and Quantitative Analysis , Volume 8 , Issue 2 , March 1973 , pp. 289 - 291
Copyright
Copyright © School of Business Administration, University of Washington 1973

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References

[1]Beaver, W.; Kettler, P.; and Scholes, M.. “The Association Between Market Determined and Accounting Determined Risk Measures.” The Accounting Review, vol. 45 (October 1970), pp. 654–682.Google Scholar
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