CAPMsammanhang

In finance, the CAPM context refers to the Capital Asset Pricing Model as a framework for linking an asset’s expected return to its market risk. Developed in the 1960s by Sharpe, Lintner, and Mossin, CAPM guides pricing of risky assets and the cost of equity.

The core equation is E(Ri) = Rf + βi [E(Rm) − Rf], where E(Ri) is the expected return, Rf the risk-free rate, βi the asset’s beta, and E(Rm) − Rf the market risk premium. Beta equals Cov(Ri, Rm)/Var(Rm).

CAPM rests on assumptions: no taxes or transaction costs, one-period horizon, all investors hold diversified portfolios to eliminate unsystematic risk, and homogeneous expectations. Under these conditions, expected returns lie on the Security Market Line, a linear relation with beta.

Uses include estimating the cost of equity, informing capital budgeting, and pricing securities within portfolios. The SML under CAPM provides a benchmark for evaluating whether an asset is under- or overvalued relative to its systematic risk.

Critics cite empirical violations and simplifying assumptions; anomalies such as size and value effects challenge CAPM. Multi-factor models, notably the Fama–French framework, extend CAPM by incorporating additional risk factors to explain returns.

Variants include the zero-beta CAPM and the consumption CAPM, while practitioners may use rolling betas and alternative proxies for the market. Despite limitations, CAPM remains a foundational reference for assessing risk-adjusted returns.

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