Bollerslev, Tim; Engle, Robert F; Wooldridge, Jeffrey M - In: Journal of Political Economy 96 (1988) 1, pp. 116-31
The capital asset pricing model provides a theoretical structure for the pricing of assets with uncertain returns. The premium to induc e risk-averse investors to bear risk is proportional to the nondivers ifiable risk, which is measured by the covariance of the asset return with the market...