Lee, Cheng-Few; Tsai, Chiung-Min; Lee, Alice C. - In: Quantitative Finance 13 (2013) 2, pp. 227-239
Breeden [<italic>J. Financial Econ.</italic>, 1979, <bold>7</bold>, 265--196], Grinols [<italic>J. Finance</italic>, 1984, <bold>39</bold>(5), 1571--1595] and Cox <italic>et al</italic>. [<italic>Econometrica</italic>, 1985, <bold>53</bold>, 363--384] describe the importance of including the supply side in capital asset pricing. Black [<italic>Am. Econ. Rev</italic>., 1976, <bold>66</bold>, 767--779] derives a dynamic,...