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I am looking at plots of the Security Market (SML) line and Capital market line (CML).

The X axis is the beta for the SML and Standard deviation for CML; the y axis is labeled with excess return.

Normally it would be expected return. The CML ans SML both have an Inteercept (y axis) at 0%. The intercept should normally be at the risk-free rate.

Is the Intercept at 0% and not at the risk free rate because the y axis is plotting the EXCESS returns?

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Yes. If on the y axis you have excess returns, then the intercept of the line is zero. This are the implications of the CAPM model. E.g. for the SML: $E[R_i,t^e]=\beta \lambda_t$, where $R_i,t^e$ is the excess return on stock $i$ at time $t$ and $\lambda$ is the market price of risk.

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