Hostname: page-component-7dd5485656-glrdx Total loading time: 0 Render date: 2025-10-31T00:35:47.248Z Has data issue: false hasContentIssue false
  • English
  • Français

The Interdependent Structure of Security Returns

Published online by Cambridge University Press:  19 October 2009

Michael A. Simkowitz  and
Dennis E. Logue
Get access Rights & Permissions [Opens in a new window]

Extract

In this paper the traditional capital asset pricing model is reformulated as a system of simultaneous equations in which returns on similar securities are treated as endogenous variables and in which pertinent financial data for particular firms and a market factor are treated as exogenous variables. Such a system is estimated, and serious questions are raised concerning the tenability of the simple linear model so often used to explain capital asset prices under uncertainty.

Information

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 8 , Issue 2 , March 1973 , pp. 259 - 272
Copyright
Copyright © School of Business Administration, University of Washington 1973

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

[1]Cohen, K., and Pogue, J.. “An Empirical Evaluation of Alternative Portfolio Selection Models.” Journal of Business, April 1967, pp. 166–193.CrossRefGoogle Scholar
[2]Elton, E., and Gruber, M.. “Improved Forecasting Through Design of Homogeneous Groups.” Journal of Business, October 1971, pp. 432–450.CrossRefGoogle Scholar
[3]Fama, E. “Risk, Return and Equilibrium.” Journal of Political Economy, January–February 1971, pp. 30–55.CrossRefGoogle Scholar
[4]Fama, E. “Efficient Capital Markets: A Review of Theory and Empirical Work.” Journal of Finance, May 1970, pp. 383–417.CrossRefGoogle Scholar
[5]Goldberger, A. S.Econometric Theory. New York, N. Y.: John Wiley & Sons, Inc., 1964.Google Scholar
[6]Jensen, M. “Risk, the Pricing of Capital Assets, and Evaluation of Investment Portfolios.” Journal of Business, April 1969, pp. 167–247.CrossRefGoogle Scholar
[7]King, B. “Market and Industry Factors in Stock Price Behavior.” Journal of Business, January 1966, pp. 139–190.CrossRefGoogle Scholar
[8]Lintner, J. “Security Prices, Risk and Maximal Gains from Diversification.” Journal of Finance, December 1965, pp. 587–615.Google Scholar
[9]Logue, D. E., and Merville, L. J.. “Financial Policy Decisions and Market Expectations.” Financial Management, Summer 1972, pp. 37–44.CrossRefGoogle Scholar
[10]Markowitz, H.Portfolio Selection: Efficient Diversification of Investments. New York, N. Y.: John Wiley S Sons, Inc., 1959.Google Scholar
[ll]Miller, M. H., and Modigliani, F.. “Some Estimates of the Cost of Capital to the Electric Utility Industry.” American Economics Review, June 1966, pp. 334–391.Google Scholar
[12]Sharpe, W. F. “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk.” Journal of Finance, September 1964, pp. 425–442.Google Scholar
[13]Sharpe, W.F. “A Simplified Model for Portfolio Analysis.” Management Science, January 1963, pp. 277–293.CrossRefGoogle Scholar
[14]Simkowitz, M. A., and Jones, C. P.. “A Note on the Simultaneous Nature of Finance Methodology.” Journal of Finance, March 1972, pp. 103–109.CrossRefGoogle Scholar
[15]Zellner, A. “An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias.” Journal of the American Statistical Association, June 1962, pp. 348–368.CrossRefGoogle Scholar
[16]Zellner, A., and Huang, D. S.. “Further Properties of Efficient Estimates for Seemingly Unrelated Regression Equations.” International Economic Review, September 1962, pp. 300–313.CrossRefGoogle Scholar