Hostname: page-component-cd9895bd7-mkpzs Total loading time: 0 Render date: 2024-12-22T21:56:16.808Z Has data issue: false hasContentIssue false
  • English
  • Français

The Capital Asset Pricing Model, Inflation, and the Investment Horizon: The Israeli Experience

Published online by Cambridge University Press:  06 April 2009

Haim Levy
Get access Rights & Permissions [Opens in a new window]

Extract

The Capital Asset Pricing Model (CAPM), an equilibrium model for the price determination of risky assets, was developed by Sharpe [16], Lintner [9, 10] and Treynor [21], following the pioneering work of Markowitz [12, 13] and Tobin [20]. In spite of the tremendous impact of this model on the profession, the CAPM still raises many questions, and is inconsistent with a considerable body of empirical evidence.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 15 , Issue 3 , September 1980 , pp. 561 - 593
Copyright
Copyright © School of Business Administration, University of Washington 1980

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.)

References

REFERENCES

[1]Black, F.; Jensen, M. C.; and Scholes, M.. “The Capital Asset Pricing Model: Some Empirical Tests.” In Studies in the Theory of Capital Markets, Jensen, M. C., ed. New York: Praeger Publishers (1972).Google Scholar
[2]Blume, M. E.; Crockett, J.; and Friend, I.. “Stock Ownership in the United States: Characteristics and Trends.” Survey of Current Business (11 1974).Google Scholar
[3]Douglas, G. W. “Risk in the Equity Markets: An Empirical Appraisal of Market Efficiency.” Yale Economic Essays. (Spring 1969).Google Scholar
[4]Friend, I., and Blume, M.. “Measurement of Portfolio Performance under Uncertainty.” American Economic Review (09 1970).Google Scholar
[5]Friend, I.; Westerfield, R.; and Granito, M.. “New Evidence on the Capital Asset Pricing Model.” Journal of Finance (06 1978).CrossRefGoogle Scholar
[6]Levhari, D., and Levy, H.. “The Capital Asset Pricing Model and the Investment Horizon.” Review of Economics and Statistics (02 1977).CrossRefGoogle Scholar
[7]Levy, H. “Portfolio Performance and the Investment Horizon.” Management Science (08 1972).CrossRefGoogle Scholar
[8]Levy, H. “Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio.” American Economic Review (09 1978).Google Scholar
[9]Lintner, J. “Security Prices, Risk, and Maximal Gains from Diversification.” Journal of Finance (12 1965).Google Scholar
[10]Lintner, J. “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolio and Capital Budgets.” Review of Economics and Statistics (02 1965).CrossRefGoogle Scholar
[11]Lintner, J. “Security Prices and Risk: The Theory of Comparative Analysis of A.T.&T. and Leading Industrials.” Presented at the Conference on the Economics of Regulated Public Utilities, Chicago (06 1965).Google Scholar
[12]Markowitz, H. M. “Portfolio Selection.” Journal of Finance (03 1952).Google Scholar
[13]Markowitz, H. M.Portfolio Selection. New York: John Wiley and Sons (1959).Google Scholar
[14]Miller, H. M. and Scholes, M.. “Rate of Return in Relation to Risk: A Reexamination of Some Recent Findings.” In Studies in the Theory of Capital Markets, Jensen, M. C., ed. New York: Praeger Publishers (1972).Google Scholar
[15]Roll, R. “A Critique of the Asset Pricing Theory's Tests. Part I: On Past and Potential Testability of the Theory.” Journal of Financial Economics (03 1977).CrossRefGoogle Scholar
[16]Sharpe, W. F. “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk.” Journal of Finance (09 1964).Google Scholar
[17]Sharpe, W. F. “Mutual Fund Performance.” Journal of Business (01 1966).CrossRefGoogle Scholar
[18]Sharpe, W. F. “Bonds versus Stocks: Some Lessons from Capital Market Theory.” Financial Analysts Journal (11–12 1973).CrossRefGoogle Scholar
[19]Silber, W. L. “Thinness in Capital Markets: The Case of the Tel Aviv Stock Exchange.” Journal of Financial and Quantitative Analysis (03 1975).CrossRefGoogle Scholar
[20]Tobin, J. “Liquidity Preference as Behavior towards Risk.” Review of Economic Studies (02 1958).CrossRefGoogle Scholar
[21]Treynor, J. L. “Toward a Theory of Market Value of Risky Assets.” Unpublished manuscript (1961).Google Scholar
[22]Treynor, J. L. “How to Rate Management of Investment Funds.” Harvard Business Review (01–02 1965).Google Scholar