Journal of Financial and Quantitative Analysis Vol. 13 No. 1 1978
Asset Pricing Models: Further Tests
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.
- DOI
- 10.2307/2330519
- Volume
- 13
- Issue
- 1
- Pages
- 39
- Sources
- crossref openalex