CAPM Investors Do Not Get Paid for Bearing Risk A Linear Relation Does Not Imply Payment for Risk

• Published in: Journal of portfolio management Vol. 34; no. 2; pp. 91 - 94
• Main Author: Markowitz, Harry M.
• Format: Journal Article
• Language: English
• Published: London Pageant Media 01.01.2008
• Subjects: Capital assets; CAPM; Rates of return; Risk exposure; Studies

The relation between the excess return of each security and its beta, where beta is defined as its regression against the return on the market portfolio, is linear in the Sharpe-Lintner capital asset pricing model. This linear relation is often interpreted to mean that CAPM investors are paid for be...