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General Factor Models and the Structure of Security Returns

Published online by Cambridge University Press:  06 April 2009

Lawrence Kryzanowski  and
Minh Chau To
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Extract

Based on Markowitz's pioneering study [40], Sharpe [56] and Lintner [38] advanced the first positivist formulations of the capital asset pricing model (CAPM). Their models were subsequently refined by Mossin [45], Fama [15], Black [1], and others. Even though the CAPM has been studied extensively, it has not been empirically validated. According to Roll [48], the CAPM cannot be tested in an unambiguous fashion because of a number of intractable measurement and computational difficulties, and the joint nature of the hypotheses to be tested.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 18 , Issue 1 , March 1983 , pp. 31 - 52
Copyright
Copyright © School of Business Administration, University of Washington 1983

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