Finance

The results reported in this paper reveal that the Black version of the CAPM is not robust with respect to the change in the construction of the Consumer Price Index that occurred in January 1983. Specifically, both the measure of inflation risk and the market price of inflation risk change substantially when a reconstructed version of the new CPI is substituted for the old CPI. This finding raises the question of whether macroeconomic data are sufficiently precise to permit the development of meaningful tests of competing asset pricing models.