Working Paper
Uncertain inflation, systematic risk, and the capital asset pricing model
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.
Keywords: Inflation (Finance); Risk; Equilibrium (Economics);
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Bibliographic Information
Provider: Federal Reserve Bank of Richmond
Part of Series: Working Paper
Publication Date: 1978
Number: 78-02