Jack Treynor's 'Toward a Theory of Market Value of Risky Assets'
20 Pages Posted: 8 Dec 2004 Last revised: 2 Sep 2015
Date Written: Fall 1962
Abstract, by Craig William French
This paper reprints an edited version of Jack Treynor's famous 1962 manuscript. The author's facsimile of the original mimeograph was obtained thanks to the kind generosity of Professor Elroy Dimson of the London Business School. Edits in the present version, which differ from the original Rough Draft, include minor typographical corrections and minor notation differences for some variables in the formulae.
Specifically, where Mr. Treynor used a bar or curve over a variable, I use an underscore, and I have omitted the upper and lower limits (and their index) above and below all Sigma summation signs as the nature of the summations is clear. Pagination is as in the original.
I have otherwise attempted, in this replica, to preserve the vintage character of the document, including font style, spacing, margins and a reproduction reminiscent of the days prior to the invention of photocopy machines and modern portfolio theory. Unfortunately, I could not replicate the wonderful mimeo aroma.
Mr. Treynor points out that many minor changes will be evident to anyone who compares the Craig French version to the version in Robert Korajczyk's book, Asset Pricing and Portfolio Performance, Risk Books, London, 1999 [Chapter 2, pp. 15-22]. Mr. Treynor considers all French's changes improvements.
A more complete description of the development of the Treynor CAPM may be found in French, Craig W., “The Treynor Capital Asset Pricing Model”. Journal of Investment Management, Vol. 1, No. 2, pp. 6072, 2003. Available at SSRN: http://ssrn.com/abstract=447580