An Empirical Assessment of the Q-Factor Model: Evidence from the Karachi Stock Exchange
Lahore Journal of EconomicsThis paper tests the validity of the q-factor model on stocks listed on the Karachi Stock Exchange in Pakistan. The q-factor model is an investment-based factor model that explains stock returns based on market, profitability, investment and size ...
Humaira Asad, Faraz Khalid Cheema
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The Conditional CAPM does not Explain Asset-Pricing Anamolies
, 2003 Jonathan Lewellen, Stefan Nagel
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Evaluating the Conditional CAPM using Consumption-based State Variables: Evidence from the Korean Stock Market [PDF]
, 2021 Dojoon Park, Young Ho Eom, Jaehoon Hahn
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Impact of consumer confidence on the expected returns of the Tokyo Stock Exchange: A comparative analysis of consumption and production-based asset pricing models. [PDF]
PLoS One, 2020 Rojo-Suárez J, Alonso-Conde AB.
europepmc +1 more source
The Efficacy of the Conditional CAPM: Improved Tests in an International Context
, 2020 Stephen R. Owen
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Conditional CAPM: Time-varying Betas in the Brazilian Market
Revista Brasileira de Finanças, 2014 The conditional CAPM is characterized by time-varying market beta. Based on state-space models approach, beta behavior can be modeled as a stochastic process dependent on conditioning variables related to business cycle and estimated using Kalman filter. This paper studies alternative models for portfolios sorted by size and book-to-market ratio in the
Frances Fischberg Blank +3 more
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Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Behavior [PDF]
This paper studies the ability of a general class of habit-based asset pricing models to match the conditional moment restrictions implied by asset pricing theory.
Sydney C. Ludvigson, Xiaohong Chen
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On Risk Premia and Volatility Transmission Across the Stock and Bond Markets [PDF]
This paper analyzes risk premia and volatility transmission across the stock and bond markets within an expected return beta representation of the conditional capital asset pricing model.
Francis Vitek
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Event studies in international finance research. [PDF]
J Int Bus Stud, 2023 El Ghoul S, Guedhami O, Mansi SA, Sy O.
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Tests of Conditional Asset Pricing Models in the Brazilian Stock Market [PDF]
In this paper, we test a verison of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the period 1976-1992. We also test a conditional APT model by using the difference between the 30-day rate (Cdb)
Marco Bonomo, René Garcia
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