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The Capital Asset Pricing Model, Inflation, and the Investment Horizon: The Israeli Experience

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  • Levy, Haim

Abstract

The Capital Asset Pricing Model (CAPM), an equilibrium model for the price determination of risky assets, was developed by Sharpe [16], Lintner [9, 10] and Treynor [21], following the pioneering work of Markowitz [12, 13] and Tobin [20]. In spite of the tremendous impact of this model on the profession, the CAPM still raises many questions, and is inconsistent with a considerable body of empirical evidence.

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  • Levy, Haim, 1980. "The Capital Asset Pricing Model, Inflation, and the Investment Horizon: The Israeli Experience," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(3), pages 561-593, September.
    • Handle: RePEc:cup:jfinqa:v:15:y:1980:i:03:p:561-593_00
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    Cited by:

    1. Larry R. Gorman & Bjorn N. Jorgensen, 2002. "Domestic versus International Portfolio Selection: A Statistical Examination of the Home Bias," Multinational Finance Journal, Multinational Finance Journal, vol. 6(3-4), pages 131-166, September.
    2. Azoulay, Eddy & Brenner, Menachem & Landskroner, Yoram & Stein, Roy, 2014. "Inflation risk premium implied by options," Journal of Economics and Business, Elsevier, vol. 71(C), pages 90-102.

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