Results 1 to 10 of about 13,843 (175)
The Conditional CAPM does not Explain Asset-Pricing Anamolies [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.
Jonathan Lewellen, Stefan Nagel
core +4 more sources
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
openaire +3 more sources
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.
Jagannathan, R., Wang, ZY
exaly +7 more sources
Learning about Beta: time-varying factor loadings, expected returns and the conditional CAPM [PDF]
SSRN Electronic Journal, 2003 This paper explores the theoretical and empirical implications of time-varying and unobservable beta. Investors infer factor loadings from the history of returns via the Kalman filter. Due to learning, the history of beta matters.
Adrian, Tobias, Franzoni, Francesco
core +5 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.
openaire +1 more source
Emerging Markets and the Conditional CAPM
, 2019 Emerging Market equity returns have proved challenging to model using conventional statistical tools. In this paper we use the conditional capital asset pricing model (CCAPM) together with an explicit expectations structure to arrive at a framework which can be easily estimated.
Ahmed, M. F., Satchell, S.
openaire +1 more source
TIME VARYING BETA (DUAL BETA): CONDITIONAL MARKET TIMING CAPM
Journal of Management and Business, 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 positive affect of return toward risk on single and multiperiods.
Rachmat Sudarsono +3 more
openaire +2 more sources
Self-Consistent Asset Pricing Models [PDF]
, 2006 We discuss the foundations of factor or regression models in the light of the self-consistency condition that the market portfolio (and more generally the risk factors) is (are) constituted of the assets whose returns it is (they are) supposed to explain.
Alexander +41 more
core +2 more sources
Multifactor consumption based asset pricing models using the US stock market as a reference: Evidence from a panel of developed economies [PDF]
, 2010 In this paper we extend the time series analysis to the panel framework to test the C-CAPM driven by wealth references for developed countries. Specifically, we focus on a linearised form of the Consumption-based CAPM in a pooled cross section panel ...
Hunter, J, Wu, F
core +1 more source
Macroeconomic Sources of Foreign Exchange Risk in New EU Members [PDF]
, 2007 We address the issue of foreign exchange risk and its macroeconomic determinants in several new EU members. The joint distribution of excess returns in the foreign exchange market and the observable macroeconomic factors is modeled using the stochastic ...
Kocenda, Evzen, Poghosyan, Tigran
core +1 more source