Functional Forms and the Capital Asset Pricing Model

Bill McDonald

Journal of Financial and Quantitative Analysis, 1983, vol. 18, issue 3, 319-329

Abstract: The traditional Capital Asset Pricing Model (CAPM) provides a foundation for the estimation of systematic risk that has been applied extensively in studies of investment performance, market efficiency, predictive models, and capital budgeting, to name only a few. Lee [10] considered a special case of nonlinearities occurring in the estimation of systematic risk within the context of the investment horizon problem. His findings, based on a limited sample, provided significant methodological implications for the estimation process and have received wide readership through republication of the study in a readings text [6].

Date: 1983
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