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Uncertain inflation, systematic risk, and the capital asset pricing model

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  • Thomas A. Lawler

Abstract

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.

Suggested Citation

  • Thomas A. Lawler, 1978. "Uncertain inflation, systematic risk, and the capital asset pricing model," Working Paper 78-02, Federal Reserve Bank of Richmond.
    • Handle: RePEc:fip:fedrwp:78-02
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    References listed on IDEAS

    as
    1. Nelson, Charles R, 1976. "Inflation and Rates of Return on Common Stocks," Journal of Finance, American Finance Association, vol. 31(2), pages 471-483, May.
    2. Siegel, Jeremy J & Warner, Jerold B, 1977. "Indexation, the Risk-Free Asset, and Capital Market Equilibrium," Journal of Finance, American Finance Association, vol. 32(4), pages 1101-1107, September.
    3. Bodie, Zvi, 1976. "Common Stocks as a Hedge against Inflation," Journal of Finance, American Finance Association, vol. 31(2), pages 459-470, May.
    4. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    5. Chen, Andrew H & Boness, A J, 1975. "Effects of Uncertain Inflation on the Investment and Financing Decisions of a Firm," Journal of Finance, American Finance Association, vol. 30(2), pages 469-483, May.
    6. Friend, Irwin & Landskroner, Yoram & Losq, Etienne, 1976. "The Demand for Risky Assets under Uncertain Inflation," Journal of Finance, American Finance Association, vol. 31(5), pages 1287-1297, December.
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