Results 131 to 140 of about 13,843 (175)
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Patent Thickets, Stock Returns, and Conditional CAPM
Management Science, 2022Patent 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, 2010This 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, 2011This 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, 2012This 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, 2009In 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 +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 +1 more
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Necessary Conditions for the CAPM
Journal of Economic Theory, 1997zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Estimating the Conditional CAPM with Overlapping Data Inference
SSRN Electronic Journal, 2013Asset 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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Testing the conditional CAPM using multivariate GARCH-M
Applied Financial Economics, 1998The relation between expected return and time varying risk on the Swedish stock market for the period 1977 to 1990 is examined. Using a parsimonious multivariate GARCH-M model, the conditional Sharpe - Lintner - Mossin CAPM is tested against six alternative hypotheses, including the zero-beta version of CAPM, a conditional residual risk model, and ...
Bjorn Hansson, Peter Hordahl
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Conditional CAPM and an Application on the ISE [PDF]
Istanbul Stock Exchange Review, 2002 In the empirical studies carried out on standard CAPM, widely used in finance literature, it has been argued that static CAPM could not entirely explain the portfolio returns. One of the assumptions for one period application is that the beta coefficients of assets are assumed to be constant over time.
Yalcin Karatepe +2 more
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