Functional Forms and the Capital Asset Pricing Model
推导并检验了更广义的资本资产定价模型，考虑函数形式和投资期限，并基于85只共同基金和大量个股数据检验非线性影响。
the functional form model in the context of the returns for 85 mutual funds. Their findings document the presence of significant transformation parameters; how? ever, the impact on estimates of systematic risk does not appear to be substantial. The purposes of this paper are twofold. The first purpose is to derive and test a more generalized form of the CAPM?more general with respect to functional form and also within the context of investment horizons. The second purpose is to investigate nonlinearities, as in [4], and to extend the analysis to a large sam? ple of individual securities. The functional form models to be empirically tested are derived in Section II. Section III discusses the estimation techniques applied to the proposed models and describes the data used in the study. The results are presented in Section IV, along with a discussion of their implications for the horizon problem and the estimation of systematic risk. A summary of the pertinent findings of the study appears in Section V.