In the 1960s, Jack Treynor, William F. Sharpe, John Lintner, and Jan Mossin developed the capital asset pricing model (CAPM) to determine the theoretical appropriate rate that an asset should return ...

Kristina Zucchi is an investment analyst and financial writer with 15+ years of experience managing portfolios and conducting equity research. Thomas J Catalano is a CFP and Registered Investment ...

A group of our advisors attended a conference this past fall sponsored by Dimensional Fund Advisors. In his talk, "Risk Dimensions of the Market," Eugene F. Fama reviewed the latest data on the ...

One of the key insights of the CAPM is that it answers an important investment question: "What is the expected return if I purchase security XYZ?" The assumption that Sharpe built into the model is ...

Journal of Applied Econometrics, Vol. 4, No. 2 (Apr. - Jun., 1989), pp. 119-138 (20 pages) We perform maximum-likelihood estimation of a model of international asset pricing based on CAPM. We test the ...

The capital asset pricing model has been widely used for many years by the global financial services industry to try and predict the returns you should expect from a stock. If a stock offers a return ...

The tradeoff for higher returns is higher risk — right? A new paper argues that factor investing challenges the 50-year-old Capital Asset Pricing Model (CAPM) developed by William Sharpe, which ...

Barberis, Nicholas, Robin Greenwood, Lawrence Jin, and Andrei Shleifer. "X-CAPM: An Extrapolative Capital Asset Pricing Model." Journal of Financial Economics 115, no. 1 (January 2015): 1–24.