The Market Model and Capital Asset Pricing Theory: A Note

  • Author(s): R. C. STAPLETON, M. G. SUBRAHMANYAM
  • Published: Apr 30, 2012
  • Pages: 1637-1642
  • DOI: 10.1111/j.1540-6261.1983.tb03846.x

ABSTRACT

This note shows that a linear market model is sufficient to derive a linear relationship between beta and expected return. Furthermore, the slope of the relationship will be identical with that of the Capital Asset Pricing Model if the return on the market portfolio is normally distributed. However, results from characterization theory suggest that the linear market model assumption is close to that of multivariate normality.

Jump to menu

Main Navigation

Search the Site / Journal

Search Keywords

Search Tips

Members' Login

Credentials

Members' Options

Site Footer

View Mobile Version