Review of Robert Korajczyk's 'Asset Pricing and Portfolio Performance'

CWF Working Paper No. 02-10

2 Pages Posted: 16 Jan 2003

See all articles by Craig W. French

Craig W. French

Portfolio Engineering Laboratory

Date Written: October 15, 2002

Abstract

Robert Korajczyk's Asset Pricing and Portfolio Performance: Models, Strategy and Performance Metrics (London: Risk Books 1999) is a collection of nineteen of the most influential works in the financial economics literature. Dr. Korajczyk has produced a useful and unique compendium that deserves to find its way into the library of every academic and practitioner in the investment community.

Dr. Korajczyk's introduction provides a clear and concise survey of the twin topics of asset pricing and performance evaluation. The nineteen papers, whose reprints comprise the book, are grouped into four primary categories - section 1, asset pricing theory; section 2, tests of the models and anomalous empirical evidence; section 3, structural market imperfections; and section 4, performance evaluation. Dr. Korajczyk does a commendable job of discussing these areas of financial economics and provides a nice contextual framework for the papers he has selected.

Chapter 2, for the first time, publishes the capital asset pricing model that Jack L. Treynor developed in 1962. This paper alone is worth many times the cost of the book. Although Treynor (1962) was circulated during the 1960s and has been cited (usually with the inaccurate date of 1961) in important seminal papers of prominent financial economists, the Treynor paper had heretofore fallen by the wayside in the history of the CAPM. Prior to publication in Asset Pricing and Portfolio Performance, Treynor (1962) was not publicly available, and could only be found in private collections. Dr. Korajczyk has done both the academic and practitioner communities a great service by publishing Mr. Treynor's CAPM.

Keywords: Korajczyk, book, review, asset pricing, portfolio, performance, model, Treynor, CAPM, history

JEL Classification: G12, G14

Suggested Citation

French, Craig W., Review of Robert Korajczyk's 'Asset Pricing and Portfolio Performance' (October 15, 2002). CWF Working Paper No. 02-10, Available at SSRN: https://ssrn.com/abstract=341661 or http://dx.doi.org/10.2139/ssrn.341661

Craig W. French (Contact Author)

Portfolio Engineering Laboratory ( email )

New Hope, PA 18977
United States
2679827565 (Phone)
18938 (Fax)

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