Capital Markets: Theory and Evidence
This paper is a review of the foundations and current state of mean-variance capital market theory. This work, whose foundations lie in the mean-variance portfolio model of Markowitz, deals with determination of the prices of capital assets under conditions of uncertainty. The Sharpe-Lintner capital asset pricing model which forms the core of this body of literature is an investigation of the implications of the normative Markowitz model for the equilibrium structure of asset prices. The essential characteristics of these models are reviewed along with the current state of the empirical evidence bearing on them. Many of the recent extensions of the theory are also reviewed and some attempt is made to integrate these extensions with the currently available empirical evidence.
Year of publication: |
1972
|
---|---|
Authors: | Jensen, Michael C. |
Published in: |
Bell Journal of Economics. - The RAND Corporation, ISSN 0361-915X. - Vol. 3.1972, 2, p. 357-398
|
Publisher: |
The RAND Corporation |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Theory of the firm : managerial behavior, agency costs and ownership structure
Jensen, Michael C., (2009)
-
Organizational forms and investment decisions
Fama, Eugene F., (2009)
-
The Capital Market as a Growth Engine
Jensen, Michael C., (2003)
- More ...