Results 121 to 130 of about 284 (173)

Explaining the Failure of the Unconditional CAPM with the Conditional CAPM

Management Science, 2023
When the cost of hedging is nil, the conditional capital asset pricing model (CAPM) holds. We empirically test the conditional CAPM by regressing asset returns onto the product of their conditional betas and market returns. Estimated intercepts are not statistically different from zero, implying that the conditional CAPM successfully explains the ...
Michael Hasler, Charles Martineau
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Patent Thickets, Stock Returns, and Conditional CAPM

Management Science, 2022
Patent thickets, a phenomenon of fragmented ownership of overlapping patent rights, hamper firms’ commercialization of patents and thus deliver asset pricing implications. We show that firms with deeper patent thickets are involved in more patent litigations, launch fewer new products, and become less profitable in the future.
Po-Hsuan Hsu, Hsiao-Hui Lee, Tong Zhou
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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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Intertemporal CAPM with Conditioning Variables

SSRN Electronic Journal, 2011
This paper derives and tests an intertemporal capital asset pricing model (ICAPM) based on a conditional version of the Campbell–Vuolteenaho two-beta ICAPM (bad beta, good beta (BBGB)). The novel factor is a scaled cash-flow factor that results from the interaction between cash-flow news and a lagged state variable (market dividend yield or consumer ...
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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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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, Patrick Kouontchou, Bertrand B. Maillet   +2 more
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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, Dimitra K. Patsouri   +1 more
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Necessary Conditions for the CAPM

Journal of Economic Theory, 1997
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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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
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