Asset Pricing Model Specification and the Term Structure Evidence (Classic Reprint) - Hardcover

Terry A. Marsh

9780666234278: Asset Pricing Model Specification and the Term Structure Evidence (Classic Reprint)

Hardcover

ISBN 10: 0666234272 ISBN 13: 9780666234278

Publisher: Forgotten Books, 2019

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Excerpt from Asset Pricing Model Specification and the Term Structure Evidence

Fisher (1930) presented a comprehensive analysis of the determinants of interest rates under certainty, but stopped short of any real efforts to extend his results to a world in which the return streams generated by capital assets are uncertain. Such an extension requires a tractable model for defining and pricing the differences across assets with respect to the uncertainty of their returns. Sharpe Lintner Mossin and Black (1972) all showed that an equilibrium in which investors hold mean-variance efficient portfolios, as they will do if asset returns are normally distributed and/or if their utility functions are quadratic [tobin implies that a capital asset pricing model (capm) describes the risk and return characteristics of all assets.

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