The Capital Asset Pricing Model
The Capital Asset Pricing Model (CAPM) revolutionized modern finance. Developed in the early 1960s by William Sharpe, Jack Treynor, John Lintner and Jan Mossin, the model provided the first coherent framework for relating the required return on an investment to the risk of that investment. This paper lays out the key ideas of the model, places its development in a historical context, and discusses its applications and enduring importance to the field of finance.
Volume (Year): 18 (2004)
Issue (Month): 3 (Summer)
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- Merton, Robert C., 1987.
"A simple model of capital market equilibrium with incomplete information,"
1869-87., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Merton, Robert C, 1987. " A Simple Model of Capital Market Equilibrium with Incomplete Information," Journal of Finance, American Finance Association, vol. 42(3), pages 483-510, July.
- Breeden, Douglas T., 1979. "An intertemporal asset pricing model with stochastic consumption and investment opportunities," Journal of Financial Economics, Elsevier, vol. 7(3), pages 265-296, September.
- Black, Fischer, 1972. "Capital Market Equilibrium with Restricted Borrowing," The Journal of Business, University of Chicago Press, vol. 45(3), pages 444-55, July.
- Lawrence Fisher & James H. Lorie, 1968. "Rates of Return on Investments in Common Stock: The Year-by-Year Record, 1926-65," The Journal of Business, University of Chicago Press, vol. 41, pages 291.
- Mayers, David, 1973. "Nonmarketable Assets and the Determination of Capital Asset Prices in the Absence of a Riskless Asset," The Journal of Business, University of Chicago Press, vol. 46(2), pages 258-67, April.
- Michael C. Jensen, 1968. "The Performance Of Mutual Funds In The Period 1945–1964," Journal of Finance, American Finance Association, vol. 23(2), pages 389-416, 05.
- Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
- Myron J. Gordon & Eli Shapiro, 1956. "Capital Equipment Analysis: The Required Rate of Profit," Management Science, INFORMS, vol. 3(1), pages 102-110, October.
- Solnik, Bruno H., 1974. "An equilibrium model of the international capital market," Journal of Economic Theory, Elsevier, vol. 8(4), pages 500-524, August.
- John Lintner, 1965. "Security Prices, Risk, And Maximal Gains From Diversification," Journal of Finance, American Finance Association, vol. 20(4), pages 587-615, December.
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