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Asset Pricing Models: Further Tests

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  • Foster, George

Abstract

The capital asset pricing model specifies that relative risk is a sufficient descriptor of security risk. This result holds under both the Sharpe-Lintner version,and the more general Black version of the model,where = expected rate of return on asset i,Rf = riskless rate of interest, = expected return on the market portfolio, = expected return on any “zero-beta” asset or portfolio of such assests, and = relative risk of asset i in the market portfolio of assests.

Suggested Citation

  • Foster, George, 1978. "Asset Pricing Models: Further Tests," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(1), pages 39-53, March.
    • Handle: RePEc:cup:jfinqa:v:13:y:1978:i:01:p:39-53_00
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    Cited by:

    1. Robert A. Pari & Son-Nan Chen, 1984. "An Empirical Test Of The Arbitrage Pricing Theory," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(2), pages 121-130, June.

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