IDEAS home Printed from https://ideas.repec.org/a/sae/ausman/v9y1984i2p67-86.html
   My bibliography  Save this article

A New Statement of the Extended Capital Asset Pricing Model

Author

Listed:
  • Tony van Zijl

    (Victoria University of Wellington.)

Abstract

A fundamental feature of the CAPM is that the investor holds individual assets within a portfolio which is mean variance efficient. In the basic CAPM of Sharp, Lintner, and Mossin, this aspect is acknowledged by stating risk margins relative to an efficient portfolio. This paper proposes a similar statement for the extended CAPM. It is shown that the proposed statement leads to a generalised form of the risk decomposition associated with the basic model, and also facilitates development of a Capital Market Line for the extended model.

Suggested Citation

  • Tony van Zijl, 1984. "A New Statement of the Extended Capital Asset Pricing Model," Australian Journal of Management, Australian School of Business, vol. 9(2), pages 67-86, December.
    • Handle: RePEc:sae:ausman:v:9:y:1984:i:2:p:67-86
    DOI: 10.1177/031289628400900207
    as

    Download full text from publisher

    File URL: https://journals.sagepub.com/doi/10.1177/031289628400900207
    Download Restriction: no
    File URL: https://libkey.io/10.1177/031289628400900207?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Roll, Richard, 1977. "A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory," Journal of Financial Economics, Elsevier, vol. 4(2), pages 129-176, March.
    2. Roll, Richard, 1978. "Ambiguity when Performance is Measured by the Securities Market Line," Journal of Finance, American Finance Association, vol. 33(4), pages 1051-1069, September.
    3. Turnbull, Stuart M & Winter, Ralph A, 1982. "An Alternative Test of the Capital Asset Pricing Model: Comment," American Economic Review, American Economic Association, vol. 72(5), pages 1194-1195, December.
    4. Cheng, Pao L & Grauer, Robert R, 1982. "An Alternative Test of the Capital Asset Pricing Model: Reply," American Economic Review, American Economic Association, vol. 72(5), pages 1201-1207, December.
    5. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    6. Ben-Horim, Moshe & Levy, Haim, 1980. "Total Risk, Diversifiable Risk and Nondiversifiable Risk: A Pedagogic Note," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(2), pages 289-297, June.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Eduardo Walker, 1993. "Desempeño Financiero de las Carteras de Renta Fija de los Fondos de Pensiones en Chile. ¿Ha Tenido Desventajas Ser Grandes?," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 30(89), pages 1-34.
    2. Eduardo Walker, 1993. "Desempeño Financiero de las Carteras Accionarias de los Fondos de Pensiones en Chile ¿Ha Tenido Desventajas ser Grandes?," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 30(89), pages 35-76.
    3. Gonzalo Rubio, 1993. "Performance measurement of managed portfolios: a survey," Investigaciones Economicas, Fundación SEPI, vol. 17(1), pages 3-41, January.
    4. Giuseppe RICCIARDO LAMONICA, 2006. "Il CAPM: il caso dell'Italia," Working Papers 256, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    5. Martin Gold, 2010. "Fiduciary Finance," Books, Edward Elgar Publishing, number 13813.
    6. Ayadi, Mohamed A. & Kryzanowski, Lawrence, 2005. "Portfolio performance measurement using APM-free kernel models," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 623-659, March.
    7. Radosław Kurach, 2013. "Does Beta Explain Global Equity Market Volatility – Some Empirical Evidence," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 7(2), June.
    8. Turan G. Bali & Robert F. Engle & Yi Tang, 2017. "Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns," Management Science, INFORMS, vol. 63(11), pages 3760-3779, November.
    9. Figge, Frank & Hahn, Tobias & Barkemeyer, Ralf, 2014. "The If, How and Where of assessing sustainable resource use," Ecological Economics, Elsevier, vol. 105(C), pages 274-283.
    10. Dumitriu, Ramona & Stefanescu, Razvan & Nistor, Costel, 2010. "Systematic risks for the financial and for the non-financial Romanian companies," MPRA Paper 41636, University Library of Munich, Germany, revised 28 Feb 2010.
    11. Richard T. Baillie & Fabio Calonaci & George Kapetanios, 2019. "Hierarchical Time Varying Estimation of a Multi Factor Asset Pricing Model," Working Papers 879, Queen Mary University of London, School of Economics and Finance.
    12. Linnenluecke, Martina K. & Chen, Xiaoyan & Ling, Xin & Smith, Tom & Zhu, Yushu, 2017. "Research in finance: A review of influential publications and a research agenda," Pacific-Basin Finance Journal, Elsevier, vol. 43(C), pages 188-199.
    13. Mădălina Antoaneta Rădoi & Alexandru Olteanu, 2016. "Optimization of the Financial Instruments Portfolio," Global Economic Observer, "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences;Institute for World Economy of the Romanian Academy, vol. 4(1), pages 64-71, May.
    14. Moon K. Kim & Chunchi Wu, 1987. "Macro-Economic Factors And Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(2), pages 87-98, June.
    15. Vassilios Babalos & Michael Doumpos & Nikolaos Philippas & Constantin Zopounidis, 2015. "Towards a Holistic Approach for Mutual Fund Performance Appraisal," Computational Economics, Springer;Society for Computational Economics, vol. 46(1), pages 35-53, June.
    16. Kingsley Fong & David R. Gallagher & Adrian D. Lee, 2008. "Benchmarking benchmarks: measuring characteristic selectivity using portfolio holdings data," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 48(5), pages 761-781, December.
    17. Martin Lettau & Sydney Ludvigson, 2001. "Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying," Journal of Political Economy, University of Chicago Press, vol. 109(6), pages 1238-1287, December.
    18. Simmet Anastasia & Pohlmeier Winfried, 2020. "The CAPM with Measurement Error: ‘There’s life in the old dog yet!’," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 240(4), pages 417-453, August.
    19. García Iborra, Rafael & Howden, David, 2016. "Uses and Misuses of Arbitrage in Financial Theory, and a Suggested Alternative," MPRA Paper 79802, University Library of Munich, Germany.
    20. Shafiqur Rahman & Matthew J. Schneider, 2019. "Tests of Alternative Asset Pricing Models Using Individual Security Returns and a New Multivariate F-Test," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 22(01), pages 1-34, March.

    More about this item

    Keywords

    CAPM; GLOBAL MINIMUM VARIANCE PORTFOLIO;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sae:ausman:v:9:y:1984:i:2:p:67-86. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: SAGE Publications (email available below). General contact details of provider: http://www.agsm.edu.au .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.