Reports of Beta's Death Have Been Greatly Exaggerated

Kevin Grundy and Burton Malkiel
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Kevin Grundy: Princeton University
Burton Malkiel: Princeton University

No 133, Working Papers from Princeton University, Department of Economics, Center for Economic Policy Studies.

Abstract: For decades the Capital Asset Pricing Model (CAPM) has been held as an article of faith among financial economists. The model, usually attributed to 1990 Nobel Laureate William Sharpe (1964), was also developed by Fischer Black (1972), John Lintner (1965), Jan Mossin (1966), and Jack Treyor (1965). CAPM attempted to quantify the relationship between risk and return. Both economists and financial practitioners have long believed that riskier assets must yield a higher expected rate of return to induce investors to hold them. The innovation of CAPM was to specify the particular risk measure that would be priced in the market.

JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 1995-09
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Persistent link: https://EconPapers.repec.org/RePEc:pri:cepsud:27

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