The Capital Asset Pricing Model Expressed as a Recursive System: An Empirical Investigation

Cheng F. Lee and William P. Lloyd

Journal of Financial and Quantitative Analysis, 1976, vol. 11, issue 2, 237-249

Abstract: The simultaneity of security price determination has been recognized for many years. Lintner [6], Lerner and Carleton [5], Mossin [9], Sharpe [10], Tobin [15], and others have all advocated that securities be treated in a portfolio sense implying security prices are determined simultaneously. The empirical work in finance is just beginning to deal formally with this simultaneity.

Date: 1976
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