Heterogeneous Investment Horizon and Capital Assest Pricing Model: Theory and Implication
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...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1990
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/813 |
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| Institution: | Singapore Management University |
| Language: | English |