Asset Pricing Model Specification and the Term Structure Evidence (Classic Reprint)

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Excerpt from Asset Pricing Model Specification and the Term Structure EvidenceFisher (1930) presented a comprehensive analysis of the determinants of interest rates under certainty, but stopped short of any real efforts to extend his results to a world in which the return streams generated by capital assets are uncertain. Such an extension requires a tractable model for defining and pricing the differences across assets with respect to the uncertainty of their returns. Sharpe Lintner Mossin and Black (1972) all showed that an equilibrium in which investors hold mean-variance efficient portfolios, as they will do if asset returns are normally distributed and/or if their utility functions are quadratic [tobin implies that a capital asset pricing model (capm) describes the risk and return characteristics of all assets.About the PublisherForgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.comThis book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully, any imperfections that remain are intentionally left to preserve the state of such historical works.