AlexanderS. S., “Price Movements in Speculative Markets: Trends or Random Walks,”Industrial Management Review (May 1961), pp. 7–26; and “Price Movements in Speculative Markets: Trends or Random Walks, No. 2,” in CootnerP. (ed.), The Random Character of Stock Market Prices (Cambridge, Mass.: MIT Press, 1964).
2.
CootnerP., “Stock Prices: Random vs. Systematic Changes,”Industrial Management Review (Spring 1962), pp. 24–45.
3.
JensenM.BenningtonG. A., “Random Walks and Technical Theories: Some Additional Evidence,”Journal of Finance (May 1970); pp. 469–482.
4.
SharpeW. F., “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk,”Journal of Finance (September 1964), pp. 425–442; and “Risk Aversion in the Stock Market,”Journal of Finance (September 1965), pp. 416–422.
5.
See, for example, FamaE. F., “Components of Investment Performance,”Journal of Finance (June 1972), pp. 551–567; “Risk, Return and Equilibrium,”Journal of Political Economy (January-February 1971), pp. 30–55. Also LitnerJohn, “Security Prices, Risk, and Maximal Gains from Diversification,”Journal of Finance (December 1965), pp. 587–615; and JensenM., “Risk, the Pricing of Capital Assets, and the Evaluation of Investment Portfolios,”Journal of Business (April 1969), pp. 167–247.
6.
FamaE. F., op. cit.
7.
For a more detailed discussion on the use of lending and borrowing see MatulichSerge, “Portfolio Performance with Lending or Borrowing,”Journal of Business Finance and Accounting (November 1975).
