The Treynor Capital Asset Pricing Model

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

Posted: 4 Oct 2003  

Craig W. French

Portfolio Engineering Laboratory

Abstract

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

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: https://ssrn.com/abstract=447580

Craig W. French (Contact Author)

Portfolio Engineering Laboratory ( email )

115 Pondview Drive
Washington Crossing, PA Pennsylvania 18977
United States
6108446040 (Phone)

Paper statistics

Abstract Views
12,204