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Using The Capm As A General Framework For Asset Pricing Analysis

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  • J. Austin Murphy

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  • J. Austin Murphy, 1990. "Using The Capm As A General Framework For Asset Pricing Analysis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(3), pages 233-241, September.
    • Handle: RePEc:bla:jfnres:v:13:y:1990:i:3:p:233-241
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1990.tb00553.x
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    1. Schlarbaum, Gary G & Lewellen, Wilbur G & Lease, Ronald C, 1978. "Realized Returns on Common Stock Investments: The Experience of Individual Investors," The Journal of Business, University of Chicago Press, vol. 51(2), pages 299-325, April.
    2. Michael C. Jensen, 1968. "The Performance Of Mutual Funds In The Period 1945–1964," Journal of Finance, American Finance Association, vol. 23(2), pages 389-416, May.
    3. Stoll, Hans R. & Whaley, Robert E., 1983. "Transaction costs and the small firm effect," Journal of Financial Economics, Elsevier, vol. 12(1), pages 57-79, June.
    4. Mark Hanna, 1968. "Short Interest: Bullish Or Bearish?—Comment," Journal of Finance, American Finance Association, vol. 23(3), pages 520-523, June.
    5. Shanken, Jay, 1987. "Multivariate proxies and asset pricing relations : Living with the Roll critique," Journal of Financial Economics, Elsevier, vol. 18(1), pages 91-110, March.
    6. Mankiw, N Gregory & Shapiro, Matthew D, 1986. "Risk and Return: Consumption Beta versus Market Beta," The Review of Economics and Statistics, MIT Press, vol. 68(3), pages 452-459, August.
    7. Stambaugh, Robert F., 1982. "On the exclusion of assets from tests of the two-parameter model : A sensitivity analysis," Journal of Financial Economics, Elsevier, vol. 10(3), pages 237-268, November.
    8. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    9. Fama, Eugene F, 1970. "Multiperiod Consumption-Investment Decisions," American Economic Review, American Economic Association, vol. 60(1), pages 163-174, March.
    10. Kwon, Young K, 1985. "Derivation of the Capital Asset Pricing Model without Normality or Quadratic Preference: A Note," Journal of Finance, American Finance Association, vol. 40(5), pages 1505-1509, December.
    11. Brown, David P, 1988. " The Implications of Nonmarketable Income for Consumption-Based Models of Asset Pricing," Journal of Finance, American Finance Association, vol. 43(4), pages 867-880, September.
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    Cited by:

    1. Murphy, Austin, 1998. "A possible adverse effect of needing to issue new equity in the future," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(4), pages 899-906.
    2. Murphy, Austin, 2012. "Biology-induced effects on investor psychology and behavior," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 20-25.
    3. Murphy, A. & Schlag, C., 1999. "An empirical examination of the effect of dividend taxation on asset pricing and returns in Germany," Global Finance Journal, Elsevier, vol. 10(1), pages 35-52.
    4. Murphy, Austin, 2008. "An empirical investigation of investor expectations in the currency market," International Review of Financial Analysis, Elsevier, vol. 17(1), pages 108-133.
    5. Murphy, Austin & Headley, Adrian, 2022. "An empirical evaluation of alternative fundamental models of credit spreads," International Review of Financial Analysis, Elsevier, vol. 81(C).

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