THE DEVELOPMENT OF THE CAPITAL ASSET PRICING MODEL AND THE EFFECT OF INTEREST RATE MOVEMENTS ON IT

Markowit/.'in portföy modelinden başlayıp, Finansal Varlıkları Fiyatlama Modeline kadar olan gelişmeler kısaca izah edilmiş ve bu modelin hazırlanmasında kullanılan varsayımlar üzerinde yapılan çalışmalar dikkate alınarak, modelin eleştirisi yapılmıştır.

Anahtar Kelimeler:

THE DEVELOPMENT OF THE CAPITAL ASSET PRICING MODEL

THE DEVELOPMENT OF THE CAPITAL ASSET PRICING MODEL AND THE EFFECT OF INTEREST RATE MOVEMENTS ON IT

Keywords:

THE DEVELOPMENT OF THE CAPITAL ASSET PRICING MODEL,

PDF

___

Black, Fisher. .Capital Market Equilibrium vvith Restricted Borrowing». Journal of Business, Vol: 45, July 1972, pp. 444 - 454 Black F Jensen, M.C. and Scholes, M., «The Cap.tal Asset PncıngModeT tL Empirical Tesis», in M.C. Jensen (Ed.), Studles in the Theory of Capital Markets, New York : Pıaeger, 1972, pp. 79-121.
Cohen, Kalman J. and Pogue. Jerry A.. «An Empirical Evaluat.on of Altema-tive Portfolio - Selection Models», Journal of Business, Vol: XL, No. 2. April 1967. pp. 166 - 193. . , ..
Douglas, G.W„ «Risk in the Equity Markets: An Empirical Appratsa1 of Market Efficiency», Yalc Economic Essays, Vol: 9, Sprıng 1969, pp. 3-45. Hadavvay, Samuel C. Jr„ «The Zero • Beta Portfolio and Intcrtemporal Asset Pricing», September 1976, Journal of Finance.
Haeerman, Robert L. and Kim, E. Han. «Capital Asset Pricing wıth Pnce Le-vel Changes», Journal of Financial and Quantitatlve Analysls, September 1976, pp. 381 -391. ..
Jensen, Michael C., «Capital Markets: Theory and Evıdence», Bell Journal, Autumn 1972, pp. 357 - 398. .,.
Lintner, John, «Security Prices, Risk, and Maximal Gaıns from Dıversıfıca-tion», Journal of Finance, December 1965, pp. 587 - 615.
Lintner, John. «The Aggrcgation of Investors’ Di verse Judgments and Prefe-rences in Pcrfcctly Competitive Security Markets», Journal of Financial and Ouantitatlve Analysls, December 1969, pp. 347 - 400.
Markowitz. Harry M., «Portfolio Selection», Journal of Finance, March 1952, Markovvitz, Harry M., Portfolio Selection: Efficient Diverslflcation of Invest-ment, Nevv York : John VViley and Sons, Inc., 1959.
Merton, R.C., «An Intertemporal Capital Asset Pricing Model», Econometrlca, September 1973, pp. 867 - 887.
Miller, Merton H. and Scholes, Myron, «Rates of Retum in Relation to Risk: A Re - Esamination of Some Recent Findings», in Studles in the Theory of Capital Markets, cd. M.C. Jensen, N.Y.: Praeger, 1972.
Mossin, J., «Equilibrium in a Capital Asset Market», Econometrica, October 1966, pp. 768-783.
Sharpc, VVilliam F.. «A Simplified Model for Portfolio Analysis». Management Science, Vol: IX, No: 2, January 1963, pp. 277-293.
Sharpe VVilliam F., «Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk», Journal of Finance, September 1964, pp442.
Sharpe, VVilliam F., Portfolio Theory and Capital Markets, New York : McGravv Hill, Inc., 1970.
Stone, Bemell K., «Systematic Interest - Rate Risk in a T\vo - Index Model of Retums», Journal of Financial and Quantitatlve Analysls, Vol: 9, November 1974, pp. 709-721.
Tobin, James, «Liquidity Preference as Behavior Tovvards Risk», Review of Economic Studles, Vol: 25, February 1958, pp. 65 - 85.