I have the impression that asset pricing models such as the CAPM or Fama & French 3 factor model typically concern nominal rather than real (inflation-adjusted) prices/returns. If this is indeed so, why is that?
Here is my guess. In cross-sectional asset pricing, there is no inherent time dimension (that is why it is called cross sectional), so the concept of inflation is irrelevant. Yet the models are estimated on data from multiple periods, so the time dimension is present in the data. Also, I suppose adjustment for inflation might not make a big difference when using daily data but it could become important when using monthly (or even lower frequency) data.
References to relevant texts would be appreciated.
Another question with a similar title but somewhat different content (more focus on continuous-time finance, risk-neutral measure and such) is this one.