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

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  • Lee, Cheng F.
  • Lloyd, William P.

Abstract

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.

Suggested Citation

  • Lee, Cheng F. & Lloyd, William P., 1976. "The Capital Asset Pricing Model Expressed as a Recursive System: An Empirical Investigation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 11(2), pages 237-249, June.
    • Handle: RePEc:cup:jfinqa:v:11:y:1976:i:02:p:237-249_02
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    Cited by:

    1. Pamela Parrish Peterson, 1980. "A Re-Examination Of Seemingly Unrelated Regressions Methodology Applied To Estimation Of Financial Relationships," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(3), pages 297-308, September.

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