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The Conditional CAPM, Cross-Section Returns and Stochastic Volatility [PDF]
, 2013 Bansal and Yaron (2004) demonstrate, by calibration, that the Consumption-Based Capital Asset Pricing Model (CCAPM) can be rescued by assuming that consumption growth rate follows a stochastic volatility model. They show that the conditional equity premium is a linear function of conditional consumption and market return volatilities, which can be ...
Fung, Ka Wai Terence +2 more
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Testing the univariate conditional CAPM in thinly traded markets
Applied Financial Economics, 2002Traditional tests of asset pricing undertaken within the CAPM framework have to control for nonsynchronous trading and non-trading as well as volatility clustering in especially thinly traded financial markets. This investigation therefore set out to control for nonsynchronous trading and non-trading effects and volatility clustering in the Norwegian ...
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Asset Valuation in a (Realistic) Conditional CAPM Setting
2014no ...
Stöckl, Stefan +2 more
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Market Clearing Conditions and the CAPM Equation
SSRN Electronic Journal, 2021openaire +1 more source
Conditional Selection of Genomic Alterations Dictates Cancer Evolution and Oncogenic Dependencies
Cancer Cell, 2017Marco Mina +2 more
exaly
A conditional knockout resource for the genome-wide study of mouse gene function
Nature, 2011Jennifer Harrow +2 more
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