Results 1 to 10 of about 413 (195)
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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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
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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
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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
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The Conditional CAPM and the Cross-Section of Expected Returns
The Journal of Finance, 1996 ABSTRACTMost empirical studies of the static CAPM assume that betas remain constant over time and that the return on the value‐weighted portfolio of all stocks is a proxy for the return on aggregate wealth. The general consensus is that the static CAPM is unable to explain satisfactorily the cross‐section of average returns on stocks.
Ravi Jagannathan, Zhenyu Wang
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Conditional CAPM Using Expected Returns of Brazilian Sustainability Companies
Theoretical Economics Letters, 2018 In the last decades, CAPM model has been of great interest in the scientific scene. Despite all the criticism, the improvement of the static CAPM, which has generated new dynamic models, provided investors with stronger guarantee through financial transactions.
Elmo Tambosi Filho
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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
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Conditional Downside Risk and the CAPM [PDF]
, 2004 The mean-semivariance CAPM strongly outperforms the traditional mean-variance CAPM in terms of its ability to explain the cross-section of US stock returns. If regular beta is replaced by downside beta, the traditional risk-return relationship is restored. The downside betas of low-beta stocks are substantially higher than the regular betas, while high-
Thierry Post, Pim van Vliet
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The Conditional CAPM Explains the Value Premium
SSRN Electronic Journal, 2012 This paper proposes alternative specifications of the conditional CAPM with dynamic conditional beta and tests the models' performance in explaining the value premium for the period 1963-2011. The conditional alphas on the value-minus-growth portfolio are estimated to be economically and statistically insignificant, indicating superior performance of ...
Turan G. Bali, Robert F. Engle
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REGE Revista de Gestão, 2007 Nas últimas décadas, o modelo CAPM tem despertado grande interesse na comunidade científica. Apesar das críticas, o aprimoramento do CAPM estático, que dá origem a novos modelos dinâmicos, traz maior segurança para o investidor ao longo do ciclo de ...
Elmo Tambosi Filho +2 more
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