The pricing of capital assets in a multiperiod world

This paper proposes a general framework for the pricing of capital assets in a multiperiod world. Under quite general conditions, the analysis shows that the equilibrium expected nominal return on any asset can always be expressed as the sum of the risk-free rate and various risk premiums. The first risk premium is identical to the usual risk premium in the Sharpe-Lintner-Mossin capital asset pricing model. The mathematical forms of all the remaining risk premiums are identical even though each individual risk premium may be present for a different reason.