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| Author: | Wei, K. Lee, C. Lee, A. |
| Title: | Linear conditional expectation, return distributions, and capital asset pricing theories |
| Journal: | Journal of Financial Research
1999 : WINTER, VOL. 22:4, p. 471-487 |
| Index terms: | FINANCE CAPITAL ASSET PRICING THEORIES |
| Language: | eng |
| Abstract: | The authors apply the relation to show that if each asset return is LCE distributed with the market and/or the factors, many capital asset pricing models and the mutual fund separation theorem can be obtained. A well-known example of a class of distributions that admits LCE is the elliptical distributions, of which the normal is a special case. A larger family, not mentioned in the existing literature, that admits LCE is the Pearson system. As a result, the distribution assumption to derive the capital asset pricing theories can be relaxed to the wider LCE family. |
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