THE MARKET MODEL, CAPM AND EFFICIENCY IN THE FREQUENCY DOMAIN

Peter Praetz

Journal of Time Series Analysis, 1982, vol. 3, issue 1, 61-79

Abstract: Abstract. This paper develops a frequency domain capital asset pricing and market model as a generalization of the existing temporal theory using formal financial models which are functions of fewquency. The market model is tested empirically using monthly Melbourne Stock Exchange data from 1964–1976 and frequency domain testing of the CAPM is discussed with implications for stock market efficiency.

Date: 1982
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.1982.tb00330.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:3:y:1982:i:1:p:61-79

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().