Journal of Financial and Quantitative Analysis Vol. 9 No. 4 1974
Using the Capital Asset Pricing Model and the Market Model to Predict Security Returns
Abstract
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).
- DOI
- 10.2307/2329762
- Volume
- 9
- Issue
- 4
- Pages
- 579
- Sources
- crossref openalex