Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If you need an accessible version of this item please contact JSTOR User Support

Risk, Return, and Equilibrium: Empirical Tests

Eugene F. Fama and James D. MacBeth
Journal of Political Economy
Vol. 81, No. 3 (May - Jun., 1973), pp. 607-636
Stable URL: http://www.jstor.org/stable/1831028
Page Count: 30
  • Read Online (Free)
  • Download ($14.00)
  • Cite this Item
If you need an accessible version of this item please contact JSTOR User Support
Risk, Return, and Equilibrium: Empirical Tests
Preview not available

Abstract

This paper tests the relationship between average return and risk for New York Stock Exchange common stocks. The theoretical basis of the tests is the "two-parameter" portfolio model and models of market equilibrium derived from the two-parameter portfolio model. We cannot reject the hypothesis of these models that the pricing of common stocks reflects the attempts of risk-averse investors to hold portfolios that are "efficient" in terms of expected value and dispersion of return. Moreover, the observed "fair game" properties of the coefficients and residuals of the risk-return regressions are consistent with an "efficient capital market"--that is, a market where prices of securities

Page Thumbnails

  • Thumbnail: Page 
607
    607
  • Thumbnail: Page 
608
    608
  • Thumbnail: Page 
609
    609
  • Thumbnail: Page 
610
    610
  • Thumbnail: Page 
611
    611
  • Thumbnail: Page 
612
    612
  • Thumbnail: Page 
613
    613
  • Thumbnail: Page 
614
    614
  • Thumbnail: Page 
615
    615
  • Thumbnail: Page 
616
    616
  • Thumbnail: Page 
617
    617
  • Thumbnail: Page 
618
    618
  • Thumbnail: Page 
619
    619
  • Thumbnail: Page 
620
    620
  • Thumbnail: Page 
621
    621
  • Thumbnail: Page 
622
    622
  • Thumbnail: Page 
623
    623
  • Thumbnail: Page 
624
    624
  • Thumbnail: Page 
625
    625
  • Thumbnail: Page 
626
    626
  • Thumbnail: Page 
627
    627
  • Thumbnail: Page 
628
    628
  • Thumbnail: Page 
629
    629
  • Thumbnail: Page 
630
    630
  • Thumbnail: Page 
631
    631
  • Thumbnail: Page 
632
    632
  • Thumbnail: Page 
633
    633
  • Thumbnail: Page 
634
    634
  • Thumbnail: Page 
635
    635
  • Thumbnail: Page 
636
    636