# CAPM - Do I use start or end of period prices?

If I use monthly price data in the standard CAPM, should I take the price at the beginning or the end of the month? What is the convention? Or does it not matter? Is there any literature that deals explicitly with this subject?

Thank you

• More importantly, the CAPM does not deal with prices but with expected returns, so you need two price points to calculate the (expected) returns. – rbm May 16 '16 at 8:42

The most common approach is to calculate returns as $r_t=\frac{p_t-p_{t-1}}{p_{t-1}}$ or $r_t=ln\left (\frac{p_t}{p_{t-1}}\right)$ using close prices at the end of the month.