Short Sales Restrictions and the Security Market Line
Article Abstract:
The capital asset pricing model (CAPM) formulated by Sharpe and Lintner is a positive approach to the valuation of chancy assets. A reformulation of CAPM is achieved through a consideration of short sales on assets of risky and secure types. The security market line which ensues has proven consistent with that of other research in the area. This CAPM is based on a zero constraint assumption regarding the handling of proceeds from short sales. Individual portfolio selection problems are analyzed. Equations are given for the capital market equilibrium. The reformulation of the selling limitations produces a security market line with a different slope and intercept than those formerly specified. The differences will change from period to period.
Publication Name: Journal of Business Research
Subject: Business, general
ISSN: 0148-2963
Year: 1984
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Intervalling effect on intertemporal stability among Asian emerging markets and developed markets
Article Abstract:
A direct test on the equality of variance-covariance matrices and correlation matrices is used to study the intervalling effect on the intertemporal stability in stock return relationships in six emerging Asian markets and four developed markets. Empirical analysis indicates that diversifying into the Asian emerging markets is beneficial and that correlation matrices of stock returns are more stable than variance-covariance matrices. The patterns of stock market co-movement are more stable as the time period considered becomes shorter.
Publication Name: Journal of Business Research
Subject: Business, general
ISSN: 0148-2963
Year: 1996
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Value creation and determinants of equity fund performance
Article Abstract:
A study was conducted to analyze performance-related factors across major equity fund classifications. Results indicated that managerial tenure and fund size generally improve risk- and free-adjusted returns. Findings also showed that fund longevity is correlated with the adjusted returns of growth funds. In addition, sales loads do not necessarily add value to investors. Finally, funds supporting higher minimum purchase levels do not seem to produce efficiency or gains for their investors.
Publication Name: Journal of Business Research
Subject: Business, general
ISSN: 0148-2963
Year: 1999
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