A conditional regime switching CAPM [PDF]
International Review of Financial Analysis, 2018 Abstract The standard Capital Asset Pricing Model (CAPM) is simple, intuitive, and grounded in sound economic theory. Yet, almost half a century's worth of empirical testing has so far failed to demonstrate its relevance. One major reason given for the CAPM's empirical failure is that beta is not the sole measure of systematic risk.
Vasco Vendrame +2 more
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The Conditional CAPM Does Not Explain Asset-Pricing Anomalies [PDF]
SSRN Electronic Journal, 2003 Recent studies suggest that the conditional CAPM might hold, period-by-period, and that time-varying betas can explain the failures of the simple, unconditional CAPM. We argue, however, that significant departures from the unconditional CAPM would require implausibly large time-variation in betas and expected returns.
Jonathan Lewellen +3 more
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TIME VARYING BETA (DUAL BETA): CONDITIONAL MARKET TIMING CAPM
Manajemen dan Bisnis, 2012 Dual beta became a debate between researchers in finance especially investment and portfolio. This research test CAPM using dual beta predictions in conditional market timing. The research tested unconditional and conditional Beta, that showed linear and
Rachmat Sudarsono +3 more
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A non-parametric test of the conditional capm for the Mexican economy
Estudios Económicos, 2006 Se han sugerido muchos modelos para describir cómo los inversionistas valúan flujos de efectivo riesgosos. El más usado es el Modelo de Valuación de Activos de Capital (CAPM por sus siglas en inglés) de Sharpe-Lintner-Black.
Jorge H . del Castillo-Spíndola
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Analysis of Conditional Capital Asset Pricing Model with Time Variant Beta using Standard Capital Asset Pricing Model [PDF]
تحقیقات مالی, 2018 Objective: The aim of the present study is to analyze and test the power of Conditional Capital Asset Pricing Model (CAPM) with Time Variant Beta against Standard Capital Asset Pricing Model to find the better model to explain expected return of stocks ...
Saeed Fallahpour +2 more
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Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012 [PDF]
International Journal of Economics and Financial Issues, 2013 The paper tests the CAPM for the Brazilian stock market using dynamic betas. The sample involves 28 stocks included in the Ibovespa portfolio as of March 21, 2012 and that were traded during the period from Jan. 01, 1995 to March 20, 2012. Dynamic betas
Lucas Lucio Godeiro
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A Comparison between the Performance of Standard Capital Asset Pricing Model and Capital Asset Pricing Model Based on Symmetric and Asymmetric Conditional Heteroscedasticity in Tehran Stock Exchange [PDF]
تحقیقات مالی, 2017 The capital asset pricing model has been one of the most prevalent models in assessing investors’ expected rate of return. Provided that it is likely that the residuals of the estimated regression of this model resemble conditional heteroscedasticity ...
Reza Raei, Mahdi Asima
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Asset pricing in global scenario: a bibliometric analysis [PDF]
IIM Ranchi Journal of Management Studies, 2023 Purpose – This study aims to organise and present the development of asset pricing models in the international environment. The stock market integration and cross-listing lead us to another objective of bibliometric analysis for “International Asset ...
Aditya Keshari, Amit Gautam
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Observable Implications of the Conditional CAPM [PDF]
SSRN Electronic Journal, 2020 The derivation of observable implications of the conditional CAPM theory often includes the joint (internally inconsistent) hypothesis that the stock portfolio used in the tests is the theoretical, mean-variance efficient, market portfolio. The present paper generalizes this derivation by avoiding this joint hypothesis.
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Conditional selectivity performance of Indian mutual fund schemes: An empirical study [PDF]
Management Science Letters, 2015 The present study seeks to examine the stock-selection performance of the sample open-ended equity mutual fund schemes of Birla Sun Life Mutual Fund Company based on traditional and conditional performance measures.
Subrata Roy
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