Journal of Financial and Quantitative Analysis Vol. 8 No. 2 1973
The Interdependent Structure of Security Returns
Abstract
In this paper the traditional capital asset pricing model is reformulated as a system of simultaneous equations in which returns on similar securities are treated as endogenous variables and in which pertinent financial data for particular firms and a market factor are treated as exogenous variables. Such a system is estimated, and serious questions are raised concerning the tenability of the simple linear model so often used to explain capital asset prices under uncertainty.
- DOI
- 10.2307/2330022
- Volume
- 8
- Issue
- 2
- Pages
- 259
- Sources
- crossref openalex