Learning about beta: Time-varying factor loadings, expected returns, and the conditional CAPM [PDF]
, 2012 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.
Adrian,Tobias, Franzoni, Francesco
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THEORETICAL FLAWS IN THE USE OF THE CAPM FOR INVESTMENT DECISIONS [PDF]
This paper uses counterexamples and simple formalization to show that the standard CAPM-based Net Present Value may not be used for investment valuations.
Magni, Carlo Alberto
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Deciphering equity style returns: An analysis of size and value anomalies in the Pakistani stock exchange. [PDF]
Heliyon, 2023 Kashif M +3 more
europepmc +1 more source
Conditional CAPM Relationships in Standard and Accounting Risk Approaches
The North American Journal of Economics and Finance, 2023 Anna Rutkowska-Ziarko +2 more
openaire +1 more source
Stock profiling using time-frequency-varying systematic risk measure. [PDF]
Financ Innov, 2023 Mestre R.
europepmc +1 more source
The Conditional Relationship Between Portfolio Beta and Return: Evidence from Latin America [PDF]
Using the approach of Pettengill et al. (1995), we analyze the un-conditional versus conditional cross-sectional CAPM relationship between portfolio beta-risk and return in the Argentinean, Brazilian, Chilean, and Mexican stock markets.
Rodrigo Saens, Eduardo Sandoval
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Factor investing: A stock selection methodology for the European equity market. [PDF]
Heliyon, 2021 Bermejo R +3 more
europepmc +1 more source
Firm Value and the mis-use of the CAPM for valuation and decision making [PDF]
This paper shows that a decision maker using the CAPM for valuing firms and making decisions may contradict Modigliani and Miller’s Proposition I, if he adopts the widely-accepted disequilibrium NPV.
Magni, Carlo Alberto
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The Conditional CAPM Does Not Explain Asset-pricing Anomalies
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.
NAGEL, STEFAN, LEWELLEN, JONATHAN
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