Professors Simkowitz and Logue (S-L) remind us that capital asset pricing is a simultaneous process. Their approach differs from traditional capital market models [3 and 6 ], where an investment's risk and return characteristics depend solely on a structural relationship between asset and market portfolio returns. Simkowitz and Logue argue that, within groups of homogeneous securities, investment returns are determined simultaneously and that market portfolio return as well as certain firm-related factors are exogeneous determinants of investment returns. This comment will, first, examine their basis for a simultaneous model and, then, look at presented empirical results.

Ronald W. Melicher, David F. Rush, Daryl N. Winn, Degree of Industry Concentration and Market Risk-Return Performance, The Journal of Financial and Quantitative Analysis, Vol. 11, No. 4, 1976 Proceedings (Nov., 1976), pp. 627-635