With the growth in empirical studies into share price behaviour there has also been a concomitant search for an underlying theory which specifies the expected returns from individual securities. The outcome of this search has been the widespread acceptance of the capital asset pricing model (C.A.P.M.). The C.A.P.M. was developed by Sharpe1, Lintner2 and Mossin,3 and is based on the assumption that investors desire to hold securities’ portfolios which are ‘efficient’ in that they provide maximum returns for given levels of risk (they act in the manner prescribed by portfolio theory).4