Randolph Westerfield, The Distribution of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Models, The Journal of Financial and Quantitative Analysis, Vol. 12, No. 5 (Dec., 1977), pp. 743-765

Jeffrey Jaffe, Randolph Westerfield, Patterns in Japanese Common Stock Returns: Day of the Week and Turn of the Year Effects, The Journal of Financial and Quantitative Analysis, Vol. 20, No. 2 (Jun., 1985), pp. 261-272

This paper examines the validity of two widely used methods for forming conditional predicted portfolio returns. The first method relies on a one-period, mean-variance theory of equilibrium expected return, sometimes referred to as the “capital asset pricing model” (CAPM). The second method is based upon a proposal by Markowitz [14] and is called the [market model] (MM).