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Marketability of Assets and the Price of Risk

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  • Stapleton, R. C.
  • Subrahmanyam, M. G.
Abstract
One of the remarkable features of the mean-variance capital asset pricing model is its robustness with respect to changes in assumption (Jensen [1]). An example of this property is given by David Mayers [4], who shows that the structure of prices of marketable assets is unaffected by relaxing the assumption that all risky assets are marketable. The result has been used in the analysis of public sector investments by Stapleton and Subrahmanyam [6]. However, although relative prices are unaffected, the general level may be due to the effect of marketability on the market price of risk.

Suggested Citation

  • Stapleton, R. C. & Subrahmanyam, M. G., 1979. "Marketability of Assets and the Price of Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(1), pages 1-10, March.
    • Handle: RePEc:cup:jfinqa:v:14:y:1979:i:01:p:1-10_00
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    Cited by:

    1. Peter C. Dawson, 2015. "The capital asset pricing model in economic perspective," Applied Economics, Taylor & Francis Journals, vol. 47(6), pages 569-598, February.
    2. Abudy, Menachem Meni & Raviv, Alon, 2016. "How much can illiquidity affect corporate debt yield spread?," Journal of Financial Stability, Elsevier, vol. 25(C), pages 58-69.

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