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A reply to Mayers and Rice (1979)

Roll, Richard (1979) A reply to Mayers and Rice (1979). Journal of Financial Economics, 7 (4). pp. 391-400. ISSN 0304-405X. doi:10.1016/0304-405X(79)90006-0.

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Mayers and Rice do not resolve the basic problem in portfolio performance evaluation with the securities market line, the ambiguity introduced by being obliged to choose a market index. Other performance evaluation techniques exist and possess some superior qualities. The Mayers-Rice discussion of my critique of the capital asset pricing model (CAPM) fails to recognize the CAPM's unusual testing implications and ignores the existence of alternative asset pricing theories. Residual analysis should give approximately correct estimates of the abnormal returns caused by specific events if it is conducted with the market model.

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Additional Information:© 1979 Published by Elsevier B.V. The comments and suggestions of Bradford Cornell are gratefully acknowledged.
Issue or Number:4
Record Number:CaltechAUTHORS:20190430-080846265
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Official Citation:Richard Roll, A reply to Mayers and Rice (1979), Journal of Financial Economics, Volume 7, Issue 4, 1979, Pages 391-400, ISSN 0304-405X, (
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:95104
Deposited By: Tony Diaz
Deposited On:30 Apr 2019 19:24
Last Modified:16 Nov 2021 17:10

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