IN THE recent literature there has been a considerable interest in the theory of random walks
in stock-market prices. The basic hypothesis of the theory is that successive price changes …

A striking characteristic of recent research on capital asset pricing is the paucity of empirical
work on the determinants of the market price of risk'in contrast to the abundance of work on …

A PREVIOUS STUDY [3] showed that estimated beta coefficients, at least in the context of a
portfolio of a large number of securities, were relatively stationary over time. Nonetheless, …

Previous estimates of a ‘size effect’ based on daily returns data are biased. The use of quoted
closing prices in computing returns on individual stocks imparts an upward bias. Returns …

IN A RECENT PAPER in the American Economic Review [6], we presented empirical evidence
that the relationship between rate of return and risk implied by the market-line theory is …

In recent years, the number of downgrades in corporate bond ratings has exceeded the
number of upgrades, leading some to conclude that the credit quality of US corporate debt has …

A recent survey of 1,041 individual investors' revealed a strong preference for dividend payout,
even if retained earnings were reduced. If the proportion of corporate earnings paid out …

THE BASIC ASSUMPTIONS typically made in capital asset pricing theory imply that investors
should hold diversified portfolios of assets. In an earlier paper [2], we developed under …

The modern theory of portfolio analysis dates from the pioneering work of Markowitz.'Of
paramount importance to the practical application of this theory is the ability to assess accurately …

Importance of institutions 18 Importance of upper income __ groups 19 XXELATIVELY little
is known about The purpose of this article is to fill Part 3: Distribution of Dividends and the …