Studies in the Theory of Capital Markets

allocation analysis asset pricing model assume assumption average b₁ beta factor bias bonds C₁ capital asset pricing coefficient commodity consumer consumer's consumption in period covariance cross-sectional demand derived dividend Economic effects elasticity equal equation estimates excess return expected return expected utility expected value expenditures Fama firm given implies income increase indifference curves individual intercept interest rate investment investors Jensen Journal linear Lintner lots of wheat marginal market portfolio maximize mean return mean-variance negative nonmarketable assets obtain optimal tax P₁ price level probability distribution problem proportional proportional tax R₁ random variables rate of interest rate of return regression returns to scale risk aversion risk premium risky assets risky industry s²(e safe asset safe industry sample Scholes second-pass securities standard deviation subperiods systematic risk tax rates tests theory tion uncertainty utility function wealth y₁ yield zero