The Treynor Capital Asset Pricing Model

Craig W. French

WBI Investments

Journal of Investment Management, Vol. 1, No. 2, pp. 60-72, 2003

History generally accords the development of the single-period, discrete-time Capital Asset Pricing Model (CAPM) to the works of Sharpe (1964), Lintner (1965a,b) and Mossin (1966). We explore the early work of another notable financial economist, Jack L. Treynor, who also deserves credit for the original Capital Asset Pricing Model because of his revolutionary manuscripts - "Market Value, Time, and Risk", Treynor (1961), and "Toward a Theory of Market Value of Risky Assets", Treynor (1962) - which were circulated during the 1960s in mimeographed draft form but have never been published in an academic or practitioner journal. Mr. Treynor's early work appears to have predated and anticipated Sharpe (1964), Lintner (1965a,b) and Mossin (1966). However, while some financial economists initially credited Mr. Treynor for his innovation, the Treynor CAPM has not enjoyed a broad public reach. This, apparently, is the reason Mr. Treynor is not consistently recognized as one of the primary architects of the CAPM.

JEL Classification: B31, G12

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Date posted: October 4, 2003  

Suggested Citation

French, Craig W., The Treynor Capital Asset Pricing Model. Journal of Investment Management, Vol. 1, No. 2, pp. 60-72, 2003. Available at SSRN: http://ssrn.com/abstract=447580

Contact Information

Craig W. French (Contact Author)
WBI Investments ( email )
331 Newman Springs Road, Suite 122
Red Bank, PA NJ 07701
United States
7328424920 (Phone)
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