A Note on Capital Asset Pricing Model Under Uncertain Inflation
指出，在预期不确定通胀且市场回报率与通胀率协方差为正时，名义资本资产定价模型会低估风险的市场价格。
The well known Sharpe-Lintner-Mossin capital asset pricing model (CAPM) assumes the existence of stability in the price level so that the market price of risk (MPR) measured in nominal terms is the same for all risky assets in an equilibrium market. Friend, Landskroner and Losq [5, hereafter F-L-L] have recently shown that CAPM measured in nominal terms understates the MPR if an uncertain inflation is expected and if a covariance between the rate of return on the market and the rate of inflation is positive (p. 1287).