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The Capital Asset Pricing Model Expressed as a Recursive System: An Empirical Investigation

Published online by Cambridge University Press:  19 October 2009

Extract

The simultaneity of security price determination has been recognized for many years. Lintner [6], Lerner and Carleton [5], Mossin [9], Sharpe [10], Tobin [15], and others have all advocated that securities be treated in a portfolio sense implying security prices are determined simultaneously. The empirical work in finance is just beginning to deal formally with this simultaneity.

Type
Research Article
Copyright
Copyright © School of Business Administration, University of Washington 1976

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References

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