Capital asset pricing model on condition of generalized elliptical distribution

The distributions of returns of risky securities have an important effect on equilibrium prices of them, but empirical distributions of returns of them have non-normal characteristics such as skewness and excess kurtosis, so assumption of normal distribution is reasonless in Capital Asset Pricing Model (CAPM). Generalized elliptical distributions can well describe empirically distributional characteristics of returns of risky securities. This article assumes returns of risky securities have generalized elliptical distributions, proves Capital Asset Pricing Model (CAPM) on condition of generalized elliptical distributions using assumption of securities market economy and equilibrium analysis. Because generalized elliptical distribution can describe distributions of returns of risky securities better than normal distribution, CAPM on condition of generalized elliptical distribution can describe prices of risky securities better.