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Functional Forms and the Capital Asset Pricing Model

Published online by Cambridge University Press:  06 April 2009

Bill McDonald
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Extract

The traditional Capital Asset Pricing Model (CAPM) provides a foundation for the estimation of systematic risk that has been applied extensively in studies of investment performance, market efficiency, predictive models, and capital budgeting, to name only a few. Lee [10] considered a special case of nonlinearities occurring in the estimation of systematic risk within the context of the investment horizon problem. His findings, based on a limited sample, provided significant methodological implications for the estimation process and have received wide readership through republication of the study in a readings text [6].

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Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 18 , Issue 3 , September 1983, pp. 319 - 329
Copyright
Copyright © School of Business Administration, University of Washington 1983

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References

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