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Uncertain Inflation, Systematic Risk, and the Capital Asset Pricing Model

By Thomas A. Lawler
Working Papers
February 1978, No. 78-2

The Sharpe-Linter two parameter Capital Asset Pricing Model (CAPM) has been the basis for an extraordinary amount of theoretical and empirical work.  As originally developed, the CAPM did not explicitly account for the effects of uncertain inflation on asset prices.

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