Multifactor CAPM

A version of the capital asset pricing model derived by Merton that includes extra-market sources of risk referred to as factor. The New York Times Financial Glossary

Financial and business terms. 2012.

Look at other dictionaries:

  • multifactor CAPM — A version of the capital asset pricing model derived by Robert Merton that includes extra market sources of risk referred to as factors. Related: arbitrage pricing theory …   Financial and business terms

  • Eugene Fama — Chicago School Of Economics Eugene Fama (left) winning the inaugural Morgan Stanley American Finance Association Award …   Wikipedia

  • ICAPM — The Intertemporal Capital Asset Pricing Model, or ICAPM, is a linear factor model with wealth and state variable that forecast changes in the distribution of future returns or income.The main difference between ICAPM and standard CAPM is additing …   Wikipedia

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