Extra-market components of covariance in security returns

Journal of Financial and Quantitative Analysis

Volumn 9, Issue 2, 1974, Pages 263-274

  Rosenberg, Barr ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84974487407     PISSN: 00221090     EISSN: 17566916     Source Type: Journal    
DOI: 10.2307/2330104     Document Type: Article

References (11)

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2. Cohen, Kalman J., and Jerry A. Pogue. “An Empirical Evaluation of Alternative Portfolio Selection Models.” Journal of Business, vol. 40 (April 1967), pp. 166–193.
3. Farrar, D. E., The Investment Decision Under Uncertainty. Englewood Cliffs, N. J.: Prentice-Hall, Inc., 1962.
4. King, Benjamin F. “Market and Industry Factors in Stock Price Behavior.” Journal of Business, vol. 39 (January 1966), pp. 139–190.
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6. Morrison, Donald F. Multivariate Statistical Methods. New York: McGraw-Hill, Inc., 1967.
7. Rosenberg, Barr. “Linear Regression with Randomly Dispersed Parameters.” Biometrika, vol. 60 (April 1973), pp. 65–72.
8. —. “A Survey of Stochastic Parameter Regression.” Annals of Economic and Social Measurement, vol. 2 (October 1973), pp. 381–397.
9. Rosenberg, Barr, and Walt McKibben.“The Prediction of Systematic and Specific Risk in Common Stocks.” Journal of Financial and Quantitative Analysis, vol. 8 (March 1973), pp. 317–333.
10. Sharpe, William F. Portfolio Theory and Capital Markets. New York: McGraw-Hill, Inc., 1970.
11. —. “The Capital Asset Pricing Model: A ‘Multi-Beta’ Interpretation.” Research Paper Ho. 183, Graduate School of Business, Stanford University, September 1973.