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MEAN GINI CAPITAL ASSET PRICING MODEL: SOME EMPIRICAL EVIDENCE
Author(s) -
Okunev John
Publication year - 1989
Publication title -
accounting and finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.645
H-Index - 49
eISSN - 1467-629X
pISSN - 0810-5391
DOI - 10.1111/j.1467-629x.1989.tb00155.x
Subject(s) - capital asset pricing model , economics , econometrics , consumption based capital asset pricing model , security market line , portfolio , arbitrage pricing theory , financial economics , asset (computer security) , systematic risk , market portfolio , computer science , stock market , context (archaeology) , paleontology , computer security , biology
The capital asset pricing model of Sharpe (1964) and Lintner (1965) provides a valid approach to portfolio selection if either the distribution of asset returns is jointly normal or the investor's preference function is quadratic. Various authors have questioned the validity of these assumptions, and Roll (1977) raises the question whether the traditional CAPM can be tested. An alternative Capital Asset Pricing Model has been proposed by Shalit and Yitzhaki (1984). In this model the extended mean Gini coefficient is used to measure risk. As little research has been conducted on this model, this paper estimates systematic risk as derived from the extended mean Gini model for a sample of Australian companies and compares the empirical security market line with the predicted extended mean Gini security market line.