Results 1 to 10 of about 13,953 (241)
The Conditional CAPM Does Not Explain Asset-Pricing Anomalies [PDF]
SSRN Electronic Journal, 2004 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, Stefan Nagel
core +6 more sources
Learning about Beta: Time-Varying Factor Loadings, Expected Returns, and the Conditional CAPM [PDF]
SSRN Electronic Journal, 2008 Abstract We amend the conditional CAPM to allow for unobservable long-run changes in risk factor loadings. In this environment, investors rationally “learn” the long-run level of factor loadings from the observation of realized returns. As a consequence of this assumption, we model conditional betas using the Kalman filter.
Tobias Adrian, Francesco A. Franzoni
core +7 more sources
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.
Thiago de Oliveira Souza
+4 more sources
Resurrecting the Conditional CAPM with Dynamic Conditional Correlations
SSRN Electronic Journal, 2010 This paper provides a time-series and cross-sectional investigation of the conditional and unconditional capital asset pricing model (CAPM). The unconditional CAPM fails, but the conditional CAPM with dynamic conditional correlations (DCC) succeeds in generating a significantly positive risk-return tradeoff.
Turan G. Bali, Robert F. Engle
+4 more sources
Estimating the Conditional CAPM with Overlapping Data Inference
SSRN Electronic Journal, 2013 Asset pricing models such as the conditional CAPM are typically estimated with MLE using a monthly or quarterly horizon with data sampled to match the horizon even though daily data are available. We develop an overlapping data inference methodology (ODIN) that uses all of the data while maintaining the monthly or quarterly forecasting period, and we ...
Esben Hedegaard, Robert J. Hodrick
+4 more sources
A Conditional Higher-Moment CAPM
International Review of Financial Analysis, 2022 Vasco Vendrame +2 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
doaj +2 more sources
A Robust Conditional Realized Extended 4-CAPM
SSRN Electronic Journal, 2009 In this paper we present and extend the approach of Bollerslev and Zhang (2003) for "realized" measures and co-measures of risk in some classical asset pricing models, such as the Capital Asset Pricing Model (CAPM) of Sharpe (1964) and the Arbitrage Pricing Theory (APT) model by Ross (1976). These extensions include higher-moments asset pricing models (
Christophe Hurlin +2 more
openalex +2 more sources
Testing the Conditional CAPM and the Effect of Intervaling
, 2017 Traditional tests of asset pricing undertaken within the CAPM framework have provided mixed results. One explanation for the supposed failure of the model is its inability to account for temporal dependence in unconditional residuals which can be induced by time-variation in volatility.
Timothy J. Brailsford, Robert W. Faff
openalex +2 more sources
A conditional CAPM: implications for the estimation of systematic risk [PDF]
SSRN Electronic Journal, 2011 The purpose of this paper is to examine: (i) whether or not, the residuals of the Market Model are conditionally heteroscedastic; (ii) whether or not, there exists an intervalling effect in conditional heteroscedasticity in the residuals of the Market Model; (iii) the effect of conditional heteroscedasticity on the estimation of systematic risk.; as ...
Alexandros E. Milionis +1 more
openalex +2 more sources