Risk, Return, and Equilibrium: Empirical Tests

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Risk, Return, and Equilibrium: Empirical Tests Eugene F. Fama; James D. MacBeth The Journal of Political Economy, Vol. 81, No. 3. (May - Jun., 1973), pp. 607-636.

Stable URL: http://links.jstor.org/sici?sici=0022-3808%28197305%2F06%2981%3A3%3C607%3ARRAEET%3E2.0.CO%3B2-J The Journal of Political Economy is currently published by The University of Chicago Press.

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http://www.jstor.org Sun Jan 27 17:34:28 2008

Risk, Return, and Equilibrium: Empirical Tests

Eugene F. F a m a a n d J a m e s D. M a c B e t h

University of Chicago

This paper tests the relationship between average return and risk for New York Stock Exchange common stocks. T h e theoretical basis of the tests is the "two-parameter" portfolio model and models of market equilibrium derived from...