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...

Full description

Saved in:
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
Citations: Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
cited_by cdi_FETCH-LOGICAL-c384t-15db2030ffa824812d6bc680b44c1cf6c8cf8a77d43d446a2b806c4818d2fe1e3
cites
container_end_page 249
container_issue 2
container_start_page 237
container_title Journal of financial and quantitative analysis
container_volume 11
creator Lee, Cheng F.
Lloyd, William P.
description 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.
doi_str_mv 10.2307/2979052
format article
fullrecord <record><control><sourceid>jstor_proqu</sourceid><recordid>TN_cdi_proquest_journals_211896911</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><cupid>10_2307_2979052</cupid><jstor_id>2979052</jstor_id><sourcerecordid>2979052</sourcerecordid><originalsourceid>FETCH-LOGICAL-c384t-15db2030ffa824812d6bc680b44c1cf6c8cf8a77d43d446a2b806c4818d2fe1e3</originalsourceid><addsrcrecordid>eNp90E9LwzAYBvAgCs4pfoUggnioJmmbpt5Gndtk4tSJBw8hTdOZuf4x6cb27c3oUPDgKfDyy_O-PACcYnRFfBRdkziKUUj2QAdHIfVojOk-6CBEiIdRjA7BkbVzhLYD1AHv0w8FE1HrRixgz1rVwInRUpcz-FBlagH769ooN8-gsFDAZyWXxuqVgi8b26jiBvZK2C9q7T65hFG5UrbRM9HoqjwGB7lYWHWye7vg9a4_TYbe-HEwSnpjT_osaDwcZilBPspzwUjAMMloKilDaRBILHMqmcyZiKIs8LMgoIKkDFHpIMtIrrDyu-Csza1N9bV0-_m8WprSreQEYxa7CrBDFy2SprLWqJzXRhfCbDhGfFsc3xXn5Hkr57apzD_Ma5l2Pax_mDCfnEZ-FHI6eOKT-wQNB7cP_M35y90BokiNzmbq98y_2d_I2oZC</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>211896911</pqid></control><display><type>article</type><title>The Capital Asset Pricing Model Expressed as a Recursive System: An Empirical Investigation</title><source>EconLit s plnými texty</source><source>EBSCOhost Business Source Ultimate</source><source>International Bibliography of the Social Sciences (IBSS)</source><source>JSTOR Archival Journals and Primary Sources Collection</source><source>Cambridge University Press:JISC Collections:Full Collection Digital Archives (STM and HSS) (218 titles)</source><creator>Lee, Cheng F. ; Lloyd, William P.</creator><creatorcontrib>Lee, Cheng F. ; Lloyd, William P.</creatorcontrib><description>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.</description><identifier>ISSN: 0022-1090</identifier><identifier>EISSN: 1756-6916</identifier><identifier>DOI: 10.2307/2979052</identifier><identifier>CODEN: JFQAAC</identifier><language>eng</language><publisher>New York, USA: Cambridge University Press</publisher><subject>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</subject><ispartof>Journal of financial and quantitative analysis, 1976-06, Vol.11 (2), p.237-249</ispartof><rights>Copyright © School of Business Administration, University of Washington 1976</rights><rights>Copyright University of Washington JUNE 1976</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c384t-15db2030ffa824812d6bc680b44c1cf6c8cf8a77d43d446a2b806c4818d2fe1e3</citedby></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://www.jstor.org/stable/pdf/2979052$$EPDF$$P50$$Gjstor$$H</linktopdf><linktohtml>$$Uhttps://www.cambridge.org/core/product/identifier/S0022109000020627/type/journal_article$$EHTML$$P50$$Gcambridge$$H</linktohtml><link.rule.ids>314,780,784,27924,27925,33223,55689,58238,58471</link.rule.ids></links><search><creatorcontrib>Lee, Cheng F.</creatorcontrib><creatorcontrib>Lloyd, William P.</creatorcontrib><title>The Capital Asset Pricing Model Expressed as a Recursive System: An Empirical Investigation</title><title>Journal of financial and quantitative analysis</title><addtitle>J. Financ. Quant. Anal</addtitle><description>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.</description><subject>Capital asset pricing models</subject><subject>Capital assets</subject><subject>Coefficients</subject><subject>Industrial efficiency</subject><subject>Industrial market</subject><subject>Industrial security</subject><subject>Mathematical independent variables</subject><subject>Oil industry</subject><subject>Pricing</subject><subject>Product markets</subject><subject>Securities</subject><subject>Securities analysis</subject><subject>Securities industry</subject><subject>Simultaneous equations</subject><subject>Valuation</subject><issn>0022-1090</issn><issn>1756-6916</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>1976</creationdate><recordtype>article</recordtype><sourceid>8BJ</sourceid><recordid>eNp90E9LwzAYBvAgCs4pfoUggnioJmmbpt5Gndtk4tSJBw8hTdOZuf4x6cb27c3oUPDgKfDyy_O-PACcYnRFfBRdkziKUUj2QAdHIfVojOk-6CBEiIdRjA7BkbVzhLYD1AHv0w8FE1HrRixgz1rVwInRUpcz-FBlagH769ooN8-gsFDAZyWXxuqVgi8b26jiBvZK2C9q7T65hFG5UrbRM9HoqjwGB7lYWHWye7vg9a4_TYbe-HEwSnpjT_osaDwcZilBPspzwUjAMMloKilDaRBILHMqmcyZiKIs8LMgoIKkDFHpIMtIrrDyu-Csza1N9bV0-_m8WprSreQEYxa7CrBDFy2SprLWqJzXRhfCbDhGfFsc3xXn5Hkr57apzD_Ma5l2Pax_mDCfnEZ-FHI6eOKT-wQNB7cP_M35y90BokiNzmbq98y_2d_I2oZC</recordid><startdate>19760601</startdate><enddate>19760601</enddate><creator>Lee, Cheng F.</creator><creator>Lloyd, William P.</creator><general>Cambridge University Press</general><general>University of Washington Graduate School of Business Administration and the Western Finance Association</general><scope>BSCLL</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>19760601</creationdate><title>The Capital Asset Pricing Model Expressed as a Recursive System: An Empirical Investigation</title><author>Lee, Cheng F. ; Lloyd, William P.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c384t-15db2030ffa824812d6bc680b44c1cf6c8cf8a77d43d446a2b806c4818d2fe1e3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>1976</creationdate><topic>Capital asset pricing models</topic><topic>Capital assets</topic><topic>Coefficients</topic><topic>Industrial efficiency</topic><topic>Industrial market</topic><topic>Industrial security</topic><topic>Mathematical independent variables</topic><topic>Oil industry</topic><topic>Pricing</topic><topic>Product markets</topic><topic>Securities</topic><topic>Securities analysis</topic><topic>Securities industry</topic><topic>Simultaneous equations</topic><topic>Valuation</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Lee, Cheng F.</creatorcontrib><creatorcontrib>Lloyd, William P.</creatorcontrib><collection>Istex</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Journal of financial and quantitative analysis</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Lee, Cheng F.</au><au>Lloyd, William P.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>The Capital Asset Pricing Model Expressed as a Recursive System: An Empirical Investigation</atitle><jtitle>Journal of financial and quantitative analysis</jtitle><addtitle>J. Financ. Quant. Anal</addtitle><date>1976-06-01</date><risdate>1976</risdate><volume>11</volume><issue>2</issue><spage>237</spage><epage>249</epage><pages>237-249</pages><issn>0022-1090</issn><eissn>1756-6916</eissn><coden>JFQAAC</coden><abstract>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.</abstract><cop>New York, USA</cop><pub>Cambridge University Press</pub><doi>10.2307/2979052</doi><tpages>13</tpages></addata></record>
fulltext fulltext
identifier ISSN: 0022-1090
ispartof Journal of financial and quantitative analysis, 1976-06, Vol.11 (2), p.237-249
issn 0022-1090
1756-6916
language eng
recordid cdi_proquest_journals_211896911
source EconLit s plnými texty; EBSCOhost Business Source Ultimate; International Bibliography of the Social Sciences (IBSS); JSTOR Archival Journals and Primary Sources Collection; Cambridge University Press:JISC Collections:Full Collection Digital Archives (STM and HSS) (218 titles)
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
title The Capital Asset Pricing Model Expressed as a Recursive System: An Empirical Investigation
url http://sfxeu10.hosted.exlibrisgroup.com/loughborough?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-01T06%3A49%3A44IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-jstor_proqu&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=The%20Capital%20Asset%20Pricing%20Model%20Expressed%20as%20a%20Recursive%20System:%20An%20Empirical%20Investigation&rft.jtitle=Journal%20of%20financial%20and%20quantitative%20analysis&rft.au=Lee,%20Cheng%20F.&rft.date=1976-06-01&rft.volume=11&rft.issue=2&rft.spage=237&rft.epage=249&rft.pages=237-249&rft.issn=0022-1090&rft.eissn=1756-6916&rft.coden=JFQAAC&rft_id=info:doi/10.2307/2979052&rft_dat=%3Cjstor_proqu%3E2979052%3C/jstor_proqu%3E%3Cgrp_id%3Ecdi_FETCH-LOGICAL-c384t-15db2030ffa824812d6bc680b44c1cf6c8cf8a77d43d446a2b806c4818d2fe1e3%3C/grp_id%3E%3Coa%3E%3C/oa%3E%3Curl%3E%3C/url%3E&rft_id=info:oai/&rft_pqid=211896911&rft_id=info:pmid/&rft_cupid=10_2307_2979052&rft_jstor_id=2979052&rfr_iscdi=true