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THE CAPITAL ASSET PRICING MODEL, INFLATION, AND THE INVESTMENT HORIZON: THE ISRAELI EXPERIENCE.
- Source :
- Journal of Financial & Quantitative Analysis; Sep80, Vol. 15 Issue 3, p561-593, 33p
- Publication Year :
- 1980
-
Abstract
- The article investigates the empirical validity of the capital assets pricing model (CAPM), as well as of a risk-adjusted measure of investment performance. Stock prices of shares trading on the Israeli securities market, a relatively thin one with about 100 securities listed, were examined for the period 1965 - 1976. The author's analysis reveals that for short-term horizons CAPM explains little, but when the investing horizon is extended to one year CAPM accounts for around 40% of the average rate of return's volatility.
Details
- Language :
- English
- ISSN :
- 00221090
- Volume :
- 15
- Issue :
- 3
- Database :
- Complementary Index
- Journal :
- Journal of Financial & Quantitative Analysis
- Publication Type :
- Review
- Accession number :
- 4756487
- Full Text :
- https://doi.org/10.2307/2330400