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THE MARKET MODEL, CAPM AND EFFICIENCY IN THE FREQUENCY DOMAIN
Author(s) -
Praetz Peter
Publication year - 1982
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1982.tb00330.x
Subject(s) - capital asset pricing model , stock exchange , econometrics , stock market , frequency domain , generalization , stock (firearms) , mathematics , financial economics , economics , finance , engineering , geography , mechanical engineering , mathematical analysis , context (archaeology) , archaeology
. This paper develops a frequency domain capital asset pricing and market model as a generalization of the existing temporal theory using formal financial models which are functions of fewquency. The market model is tested empirically using monthly Melbourne Stock Exchange data from 1964–1976 and frequency domain testing of the CAPM is discussed with implications for stock market efficiency.