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A Test of the Apt In Pricing Uk Stocks · Study

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ArticleA Test of the Apt In Pricing Uk Stocks

Sarath P. Abeysekera1987

Article1987

A Test of the Apt In Pricing Uk Stocks

Sarath P. Abeysekera · Arvind Mahajan

23 citations·0/0 files stored·Journal of Business Finance &amp Accounting

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Reporting and Valuation Research

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1973Risk, Return, and Equilibrium: Empirical Tests 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1976The arbitrage theory of capital asset pricing 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1981The relationship between return and market value of common stocks 1966Equilibrium in a Capital Asset Market 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory

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Details

Year1987

Typearticle

Published1987-09-01

VenueJournal of Business Finance &amp Accounting

ISSN-L0306-686X

Languageen

Citations23

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1111/j.1468-5957.1987.tb00101.x

openalex_workW2141309399

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