The Capital Asset Pricing Model Expressed as a Recursive System: An Empirical Investigation

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 em...

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Bibliographic Details
Published in:Journal of financial and quantitative analysis 1976-06, Vol.11 (2), p.237-249
Main Authors: Lee, Cheng F., Lloyd, William P.
Format: Article
Language:English
Subjects:
Capital asset pricing models
Capital assets
Coefficients
Industrial efficiency
Industrial market
Industrial security
Mathematical independent variables
Oil industry
Pricing
Product markets
Securities
Securities analysis
Securities industry
Simultaneous equations
Valuation
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Summary: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.
ISSN:0022-1090
1756-6916
DOI:10.2307/2979052