The Review of Economics and Statistics Vol. 59 No. 4 1977
Nonmarketable Assets and the Determinants of the Market Price of Risk
Abstract
T he original capital asset pricing model (hereafter CAPM) developed by Sharpe (1964), Lintner (1965) and Mossin (1966) was advanced to explain the return differential between risky assets and a risk-free asset under conditions of uncertainty. The model demonstrates that in equilibrium the return differential on a risky asset is determined by two factors: the market price of (unit) risk (hereafter MPR) which is common to all risky assets, and a risk factor unique to each asset. The equilibrium return differential is
- DOI
- 10.2307/1928713
- Volume
- 59
- Issue
- 4
- Pages
- 482
- Sources
- openalex crossref