Title

Heterogeneous Investment Horizon and Capital Assest Pricing Model: Theory and Implication

Publication Type

Journal Article

Publication Date

1990

Abstract

The risk-return relationship implied by the traditional capital asset pricing model (CAPM) with finite investment horizons is generalized. The effect of heterogeneous investment horizons on the functional form of capital asset pricing is examined, and a translog model is proposed for estimating the risk-return relationship. In addition, it is contended that some empirical findings that are inconsistent with the traditional CAPM have resulted from misspecification of the CAPM by ignoring the discrepancy between the observed data periods and the true investment horizons. Furthermore, it is shown that, under various conditions, the translog model is a suitable function for estimating the relationship between risk and expected returns.

Discipline

Business

Research Areas

Finance

Publication

Journal of Financial and Quantitative Analysis

Volume

25

Issue

3

First Page

361

Last Page

376

ISSN

0022-1090

Identifier

10.2307/2330701

This document is currently not available here.

Share

COinS