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Functional Forms and the Capital Asset Pricing Model

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  • McDonald, Bill

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].

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  • McDonald, Bill, 1983. "Functional Forms and the Capital Asset Pricing Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(3), pages 319-329, September.
    • Handle: RePEc:cup:jfinqa:v:18:y:1983:i:03:p:319-329_01
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    1. Sudarsanam, P. S. & Taffler, R. J., 1995. "Financial ratio proportionality and inter-temporal stability: An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 19(1), pages 45-60, April.
    2. Chaudhury, M. M. & Lee, C. F., 1997. "Functional form of stock return model: Some international evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(1), pages 151-183.
    3. Wilson, Christine A. & Featherstone, Allen M. & Kastens, Terry L., 2001. "Threshold Effects In Food And Agribusiness Stock Price Markets," 2001 Annual meeting, August 5-8, Chicago, IL 20591, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).

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