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    A Unified Beta Pricing Theory


    Connor, Gregory (1984) A Unified Beta Pricing Theory. Journal of Economic Theory, 34 (1-2). pp. 13-31. ISSN 0022-0531

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    Abstract

    This paper derives Ross's mutual fund separation theory and a new, equilibrium version of Ross's arbitrage pricing theory as special cases of a general theory. The paper also reveals that the two theories are identical in their predictions of asset prices and portfolio returns. The capital asset pricing model (a restricted case of the mutual fund separation theory) receives special treatment.

    Item Type: Article
    Keywords: Unified; Beta Pricing; mutual fund; separation theory;
    Academic Unit: Faculty of Social Sciences > Economics, Finance and Accounting
    Item ID: 5416
    Depositing User: Gregory Connor
    Date Deposited: 24 Sep 2014 15:00
    Journal or Publication Title: Journal of Economic Theory
    Publisher: Academic Press Inc.
    Refereed: Yes
    URI:

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