The American Finance Association, 1968. 1st Edition. IN ORIGINAL WRAPS, A KEY PAPER IN THE DEVELOPMENT OF THE CAPITAL ASSET PRICING MODEL (CAPM). A number of prominent economists played a key role in the development of CAPM, including William Sharpe, John Lintner, Jan Mossin and Eugene Fama. Eugene Fama, the author of this paper, resolved an apparent conflict between Lintner and Sharpe's measures of risk by proving that the differences between the two models were not in fact real. While this offering is of the Fama paper alone, in a separate listing, we offer four of the papers together.
Eugene Fama is thought of as the father of empirical finance. “Over an unusually active career that spans more than five decades, Fama has produced pioneering research on efficient capital markets, asset pricing models, as well as the behavior of interest rates, exchange rates, futures prices, and inflation rates. He has also produced important papers on capital structure and payout policy. His theoretical work on agency problems and banking is path breaking and influential” (Schwert, Polgrave Dictionary of Economics).
“The capital asset pricing model (CAPM) is a model that describes the relationship between risk and expected return and that is used in the pricing of risky securities. The general idea behind CAPM is that investors need to be compensated in two ways: time value of money and risk. The time value of money is represented by the risk-free (rf) rate in the formula and compensates the investors for placing money in any investment over a period of time. The other half of the formula represents risk and calculates the amount of compensation the investor needs for taking on additional risk. This is calculated by taking a risk measure (beta) that compares the returns of the asset to the market over a period of time and to the market premium (Rm-rf)” (Ivestopedia Portal). Item #706
CONDITION & DETAILS: Complete issue in original wraps. The Journal of Finance Volume 23, Issue 1, March 1968 Quarto. 10 x 6.75 inches. Slight scuffing at the spine and edges. Clean throughout. Very good.