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Marketability of Assets and the Price of Risk

Published online by Cambridge University Press:  06 April 2009

R. C. Stapleton  and
M. G. Subrahmanyam
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Extract

One of the remarkable features of the mean-variance capital asset pricing model is its robustness with respect to changes in assumption (Jensen [1]). An example of this property is given by David Mayers [4], who shows that the structure of prices of marketable assets is unaffected by relaxing the assumption that all risky assets are marketable. The result has been used in the analysis of public sector investments by Stapleton and Subrahmanyam [6]. However, although relative prices are unaffected, the general level may be due to the effect of marketability on the market price of risk.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 14 , Issue 1 , March 1979 , pp. 1 - 10
Copyright
Copyright © School of Business Administration, University of Washington 1979

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References

REFERENCES

[1]Jensen, Michael C. “Capital Markets: Theory and Evidence.” Bell Journal of Economics and Management Science, Vol. 3 (Autumn 1972), pp. 357–398.Google Scholar
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