General Factor Models and the Structure of Security Returns

Lawrence Kryzanowski and Minh Chau To

Journal of Financial and Quantitative Analysis, 1983, vol. 18, issue 1, 31-52

Abstract: Based on Markowitz's pioneering study [40], Sharpe [56] and Lintner [38] advanced the first positivist formulations of the capital asset pricing model (CAPM). Their models were subsequently refined by Mossin [45], Fama [15], Black [1], and others. Even though the CAPM has been studied extensively, it has not been empirically validated. According to Roll [48], the CAPM cannot be tested in an unambiguous fashion because of a number of intractable measurement and computational difficulties, and the joint nature of the hypotheses to be tested.

Date: 1983
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