Hostname: page-component-848d4c4894-pftt2 Total loading time: 0 Render date: 2024-05-27T00:03:23.417Z Has data issue: false hasContentIssue false
  • English
  • Français

Mean-Lower Partial Moment Asset Pricing Model: Some Empirical Evidence

Published online by Cambridge University Press:  06 April 2009

Timothy J. Nantell ,
Kelly Price  and
Barbara Price
Get access Rights & Permissions [Opens in a new window]

Extract

Bawa [3] has argued that mean-lower partial moment portfolio selection rules are more general than mean-variance rules in that they rely on fewer restrictive assumptions regarding investor utility functions and/or distributions of security returns. As with the mean-variance model, it is possible to formulate equilibrium security prices under the assumption that expected utility-maximizing investors utilize mean-lower partial moment portfolio selection rules. This paper has investigated the empirical relationship between the resultant mean-lower partial moment pricing model and the long established mean-variance pricing model.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 17 , Issue 5 , December 1982 , pp. 763 - 782
Copyright
Copyright © School of Business Administration, University of Washington 1982

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

[1]Arditti, Fred D. “Risk and the Required Return on Equity.” Journal of Finance, Vol. 22 (03 1967), pp. 19–36.Google Scholar
[2]Arditti, Fred D. “Skewness and Investors' Decisions: A reply.” Journal of Financial and Quantitative Analysis, Vol. 10 (03 1975), pp. 173–176.CrossRefGoogle Scholar
[3]Bawa, V. S. “Optimal Rules for Ordering Uncertain Prospects.” Journal of Financial Economics, Vol. 2 (03 1975), pp. 95–121.CrossRefGoogle Scholar
[4]Bawa, V. S., and Lindenberg, E. B.. “Capital Market Equilibrium in a Mean-Lower Partial Moment Framework.” Journal of Financial Economics, Vol. 5 (11 1977), pp. 189–200.Google Scholar
[5]Black, F. “Capital Market Equilibrium with Restricted Borrowing.” Journal of Business, Vol. 45 (07 1972), pp. 444–455.CrossRefGoogle Scholar
[6]Black, F.; Jensen, M.; and Scholes, M.. “The Capital Asset Pricing Model: Some Empirical Results.” In Studies in the Theory of Capital Markets.” Jensen, M., ed. NY: Praeger (1972).Google Scholar
[7]Blume, Marshall E. “Portfolio Theory: A Step Towards its Practical Application.” Journal of Business, Vol. 43 (04 1970), pp. 152–173.Google Scholar
[8]Blume, M., and Friend, I.. “A New Look at the Capital Asset Pricing Model.” Journal of Finance, Vol. 28 (03 1973), pp. 19–34.Google Scholar
[9]Cootner, Paul. The Random Character of Stoak Market Prices. Cambridge, MA: MIT Press (1964).Google Scholar
[10]Fama, Eugene E. “The Behavior of Stock Prices.” Journal of Business, Vol. 38 (01 1965), pp. 34–105.Google Scholar
[11]Fama, E., and MacBeth, J.. “Risk, Return and Equilibrium: Empirical Tests.” Journal of Political Economy, Vol. 81 (05–06 1973), pp. 607–636.CrossRefGoogle Scholar
[12]Foster, George. “Asset Pricing Models: Further Tests.” Journal of Financial and Quantitative Analysis, Vol. 13 (03 1978), pp. 39–53.Google Scholar
[13]Francis, Jack Clark. “Skewness and Investors' Decisions.” Journal of Financial and Quantitative Analysis, Vol. 10 (03 1975), pp. 163–172.CrossRefGoogle Scholar
[14]Grauer, Robert R. “Generalized Two Parameter Asset Pricing Models: Some Empirical Evidence.” Journal of Financial Economics, Vol. 6, (03 1978), pp. 11–32.CrossRefGoogle Scholar
[15]Hogan, W. W., and Warren, J. M.. “Toward the Development of an Equilibrium Capital Market Model Based on Semivariance.” Journal of Financial and Quantitative Analysis, Vol. 9 (01 1974), pp. 1–12.Google Scholar
[16]Jahankhani, Ali. “E-V and E-S Capital Asset Pricing Models: Some Empirical Tests.” Journal of Financial and Quantitative Analysis, Vol. 11 (11 1976), pp. 513–528.CrossRefGoogle Scholar
[17]Kraus, Alan, and Litzenberger, Robert H.. “Skewness Preference and the Valuation of Risk Assets.” Journal of Finance, Vol. 31 (09 1976), pp. 1085–1100.Google Scholar
[18]Lintner, J. “Equilibrium in a Random Walk and Lognormal Securities Market.” Discussion paper No. 235. Cambridge, MA: Harvard University Institute of Economic Research (07 1972).Google Scholar
[19]Markowitz, H.Portfolio Selection: Efficient Diversification of Investments. NY: Wiley & Sons, Inc. (1959).Google Scholar
[20]Mayers, David, and Rice, Edward. “Measuring Portfolio Performance and the Empirical Content of Asset Pricing Models.” Journal of Financial Economics, Vol. 7 (03 1979), pp. 3–28.CrossRefGoogle Scholar
[21]McEnally, R. W. “A Note on the Behavior of High Risk Common Stocks.” Journal of Finance, Vol. 29 (03 1974), pp. 199–202.CrossRefGoogle Scholar
[22]Miller, Merton H., and Scholes, Myron. “Rates of Return in Relation to Risk: A Reexamination of Some Recent Findings.” In Studies in the Theory of Capital Markets. Jensen, Michael, ed. NY: Praeger (1972).Google Scholar
[23]Nantell, T. J., and Price, B.. “Analytical Comparison of Variance and Semivariance Capital Market Theories.” Journal of Financial and Quantitative Analysis, Vol. 14 (06 1979), pp. 221–242.CrossRefGoogle Scholar
[24]Price, Kelly; Price, Barbara; and Nantell, Timothy J.. “Variance and Lower Partial Moment Measures of Systematic Risk: Some Analytical and Empirical Results.” Journal of Finance (forthcoming).Google Scholar
[25]Roll, Richard. “A Critique of the Asset Pricing Theory's Tests; Part I: On Part and Potential Testability of the Theory.” Journal of Financial Economics, Vol. 4 (03 1977), pp. 129–176.CrossRefGoogle Scholar
[26]Roll, Richard. “A Reply to Mayers and Rice.” Working paper No. 4–79, University of California at Los Angeles (1979).Google Scholar
[27]Snedecor, G. W., and Cochran, W. G.. Statistical Methods. Iowa State University Press (1967).Google Scholar
[28]Upton, David E., and Shannon, Donald S.. “The Stable Paretian Distribution, Subordinated Stochastic Processes and Asymptotic Lognormality: An Empirical Investigation.” Journal of Finance, Vol. 34 (09 1979), pp. 1031–1040.CrossRefGoogle Scholar