Rit = Ut + ~$lt + Elt, (1) where the tilde indicates a random variable, ai is a parameter whose value is such that the expected value of Sit is zero, and ~i is a parameter appropriate to asset i.2 That the random variables Sit are assumed to be independent and * University of Pennsylvania. 1. In this paper, return will be measured as the ratio of the value of the investment at time t with dividends reinvested to the value of the investment at time (t-l). Dividends are assumed reinvested at time t, 2. The parameter Ili is defined as Cov (~, M)!Var (M). The Journal oj Finance unique to asset i implies that Cov (fit, Mt) is zero and that Cov (Eit, Â£jt), i =1= j, are zero. This last conclusion is tantamount to assuming the absence of industry effects. The empirical validity of the market model as it applies to common stocks listed on the NYSE has been examined extensively in the literature," The principal conclusions are: (1) The linearity assumption of the model is adequate." (2) The variables fit cannot be assumed independent between securities because of the existence of industry effects. However, these
The Journal of Finance – Wiley
Published: Mar 1, 1971
It’s your single place to instantly
discover and read the research
that matters to you.
Enjoy affordable access to
over 18 million articles from more than
15,000 peer-reviewed journals.
All for just $49/month
Query the DeepDyve database, plus search all of PubMed and Google Scholar seamlessly
Save any article or search result from DeepDyve, PubMed, and Google Scholar... all in one place.
Get unlimited, online access to over 18 million full-text articles from more than 15,000 scientific journals.
Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.
All the latest content is available, no embargo periods.
“Hi guys, I cannot tell you how much I love this resource. Incredible. I really believe you've hit the nail on the head with this site in regards to solving the research-purchase issue.”Daniel C.
“Whoa! It’s like Spotify but for academic articles.”@Phil_Robichaud
“I must say, @deepdyve is a fabulous solution to the independent researcher's problem of #access to #information.”@deepthiw
“My last article couldn't be possible without the platform @deepdyve that makes journal papers cheaper.”@JoseServera