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Functional form of stock return model: Some international evidence

  • Chaudhury, M. M.
  • Lee, C. F.
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    File URL: http://www.sciencedirect.com/science/article/B6W5X-45FY57F-44/2/fba8be6264624e92861232cb72322bb4
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    Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

    Volume (Year): 37 (1997)
    Issue (Month): 1 ()
    Pages: 151-183

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    Handle: RePEc:eee:quaeco:v:37:y:1997:i:1:p:151-183
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620167

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    1. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    2. Solnik, Bruno H., 1974. "An equilibrium model of the international capital market," Journal of Economic Theory, Elsevier, vol. 8(4), pages 500-524, August.
    3. Cheng, Pao L. & Deets, M. King, 1973. "Systematic Risk and the Horizon Problem," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(02), pages 299-316, March.
    4. Haim Levy & Paul A. Samuelson, 1992. "The Capital Asset Pricing Model with Diverse Holding Periods," Management Science, INFORMS, vol. 38(11), pages 1529-1542, November.
    5. Jorion, Philippe & Schwartz, Eduardo, 1986. " Integration vs. Segmentation in the Canadian Stock Market," Journal of Finance, American Finance Association, vol. 41(3), pages 603-14, July.
    6. Bubnys, Edward L. & Lee, Cheng-Few, 1989. "Linear and generalized functional form market models for electric utility firms," Journal of Economics and Business, Elsevier, vol. 41(3), pages 213-223, August.
    7. McDonald, Bill, 1983. "Functional Forms and the Capital Asset Pricing Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(03), pages 319-329, September.
    8. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
    9. Lee, Cheng F., 1977. "Functional Form, Skewness Effect, and the Risk-Return Relationship," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(01), pages 55-72, March.
    10. Fabozzi, Frank J. & Francis, Jack C. & Lee, Cheng F., 1980. "Generalized Functional Form for Mutual Fund Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(05), pages 1107-1120, December.
    11. Lee, Cheng F, 1976. "Investment Horizon and the Functional Form of the Capital Asset Pricing Model," The Review of Economics and Statistics, MIT Press, vol. 58(3), pages 356-63, August.
    12. Errunza, Vihang & Losq, Etienne & Padmanabhan, Prasad, 1992. "Tests of integration, mild segmentation and segmentation hypotheses," Journal of Banking & Finance, Elsevier, vol. 16(5), pages 949-972, September.
    13. Jensen, Michael C, 1969. "Risk, The Pricing of Capital Assets, and the Evaluation of Investment Portfolios," The Journal of Business, University of Chicago Press, vol. 42(2), pages 167-247, April.
    14. Cartwright, Phillip A & Lee, Cheng F, 1987. "Time Aggregation and the Estimation of the Market Model: Empirical Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(1), pages 131-43, January.
    15. Levhari, David & Levy, Haim, 1977. "The Capital Asset Pricing Model and the Investment Horizon," The Review of Economics and Statistics, MIT Press, vol. 59(1), pages 92-104, February.
    16. Roll, Richard, 1992. " Industrial Structure and the Comparative Behavior of International Stock Market Indices," Journal of Finance, American Finance Association, vol. 47(1), pages 3-41, March.
    17. Solnik, Bruno H., 1974. "An International Market Model of Security Price Behavior," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(04), pages 537-554, September.
    18. Errunza, Vihang & Losq, Etienne, 1985. " International Asset Pricing under Mild Segmentation: Theory and Test," Journal of Finance, American Finance Association, vol. 40(1), pages 105-24, March.
    19. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
    20. Lessard, Donald R, 1974. "World, National, and Industry Factors in Equity Returns," Journal of Finance, American Finance Association, vol. 29(2), pages 379-91, May.
    21. Haim Levy, 1972. "Portfolio Performance and the Investment Horizon," Management Science, INFORMS, vol. 18(12), pages B645-B653, August.
    22. Solnik, B H, 1974. "The International Pricing of Risk: An Empirical Investigation of the World Capital Market Structure," Journal of Finance, American Finance Association, vol. 29(2), pages 365-78, May.
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