Journal of Financial and Quantitative Analysis Vol. 18 No. 3 1983
Functional Forms and the Capital Asset Pricing Model
Abstract
The traditional Capital Asset Pricing Model (CAPM) provides a foundation for the estimation of systematic risk that has been applied extensively in studies of investment performance, market efficiency, predictive models, and capital budgeting, to name only a few. Lee [10] considered a special case of nonlinearities occurring in the estimation of systematic risk within the context of the investment horizon problem. His findings, based on a limited sample, provided significant methodological implications for the estimation process and have received wide readership through republication of the study in a readings text [6].
- DOI
- 10.2307/2330723
- Volume
- 18
- Issue
- 3
- Pages
- 319
- Sources
- openalex crossref