Tamanho da fonte: 

We propose a new version of the Capital Asset Pricing Model (CAPM). This new model works under any distribution of asset returns and its beta is sensitive to variations in the risk-free rate. Furthermore, our model does not make strong assumptions regarding investor behavior. It maintains the simple structure of a single factor and the micro-foundations of the traditional CAPM. This new approach brings several improvements to any models that use the beta as an explanatory variable. After a brief empirical test, we verified that the new model had a better performance than the traditional CAPM.