Asset Pricing Models: Further Tests

George Foster

Journal of Financial and Quantitative Analysis, 1978, vol. 13, issue 1, 39-53

Abstract: The capital asset pricing model specifies that relative risk is a sufficient descriptor of security risk. This result holds under both the Sharpe-Lintner version,and the more general Black version of the model,where = expected rate of return on asset i,Rf = riskless rate of interest, = expected return on the market portfolio, = expected return on any “zero-beta” asset or portfolio of such assests, and = relative risk of asset i in the market portfolio of assests.

Date: 1978
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