Cheng F. Lee, Frank C. Jen, Effects of Measurement Errors on Systematic Risk and Performance Measure of a Portfolio, The Journal of Financial and Quantitative Analysis, Vol. 13, No. 2 (Jun., 1978), pp. 299-312

A. James Boness, Frank C. Jen, A Model of Information Diffusion, Stock Market Behavior, and Equilibrium Price, The Journal of Financial and Quantitative Analysis, Vol. 5, No. 3 (Sep., 1970), pp. 279-296

The purpose of this paper is to estimate empirically the effect of the deferred call provisions on corporate bond yields using the conceptual framework of callable and call-free yields developed by Jen and Wert [3]. After reviewing briefly the above-mentioned study in Section I, Section II presents patterns of callable and call-free yields of deferred issues from January 1956 to June 1961 by grades, months of offering, and coupon rates and contrasts them with those of the freely callable issues. Section III further contrasts yields of deferred issues with those of freely-callable ones on a pair comparison basis, while Section IV discusses the implication of the study for both the issuers and the investors.

In this paper, we present a new version of the capital asset pricing model CAPM) that provides a linear pricing equation substantially different from that implied by the traditional CAPM of Sharpe [18], Lintner [12], and Mossin [14, 15] (hereafter SLM model). It is assumed that each of the investors has an initial endowment of real resources (say, corn) which can be either consumed invested in investment opportunities available to the investor. A set of simultaneous equations is derived from the model. The set of equations determines the equilibrium values of these interdependent endogenous variables: the amount to be consumed by the investor; the proportion of each investment project be owned by the investor; the amount to be invested in each of the available investment projects; the market value of each project; the market price of risk; and the return imputed by the capital market for a risky project which has a zero-beta risk. If a riskless project exists, the zero-beta rate is just a risk-free rate.