The Treynor Capital Asset Pricing Model

Craig W. French

Volume 1, Number 2, Second Quarter

We explore unpublished early work of Jack Treynor, who deserves credit for the original Capital Asset Pricing Model because of his revolutionary manuscripts, “Market Value, Time, and Risk” and “Toward a Theory of Market Value of Risky Assets”, which were circulated during the 1960s but have never been published in a journal. Mr. Treynor’s early work appears to have predated and anticipated Sharpe (1964), Lintner (1965a,b) and Mossin (1966). However, 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.