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Conditional Downside Risk and the CAPM
2004The mean-semivariance CAPM strongly outperforms the traditional mean-variance CAPM in terms of its ability to explain the cross-section of US stock returns. If regular beta is replaced by downside beta, the traditional risk-return relationship is restored. The downside betas of low-beta stocks are substantially higher than the regular betas, while high-
Post, GT (Thierry), van Vliet, WN (Pim)
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On the Distributional Conditions for a Consumption-Oriented Three Moment CAPM
The Journal of Finance, 1983ABSTRACTIn this paper, we develop sufficient conditions on probability distributions for a three moment (mean, variance, and skewness) consumption‐oriented capital asset pricing model (CAPM) to price correctly a subset of assets. The assumptions that individuals in an allocationally efficient capital market have identical probability beliefs and ...
Kraus, Alan, Litzenberger, Robert
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Conditions for a CAPM equilibrium with positive prices
Journal of Economic Theory, 2007zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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A conditional CAPM: implications for systematic risk estimation
The Journal of Risk Finance, 2011PurposeThe purpose of this paper is to examine, whether or not, the residuals of the market model (MM) are conditionally heteroscedastic; to examine, whether or not, there exists an intervalling effect in conditional heteroscedasticity in the residuals of the MM; to propose a simple data‐driven conditional capital asset pricing model (CAPM); and to ...
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Estimation Risk, Information, and the Conditional CAPM: Theory and Evidence
Review of Financial Studies, 2008We theoretically and empirically investigate the role of information on the cross section of stock returns and firms' cost of capital when investors face estimation risk and learn from noisy signals of uncertain quality. The resultant equilibrium is an information-dependent conditional CAPM. We find strong empirical support for the model.
Praveen Kumar +3 more
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Testing the Conditional CAPM and the Effect of Intervaling
2017Traditional tests of asset pricing undertaken within the CAPM framework have provided mixed results. One explanation for the supposed failure of the model is its inability to account for temporal dependence in unconditional residuals which can be induced by time-variation in volatility.
Brailsford, Timothy J., Faff, Robert W.
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The Robustness of the Conditional CAPM with Human Capital
Journal of Financial Econometrics, 2003An empirical evaluation is provided of the robustness of the conditional capital asset pricing model (CAPM) with human capital to explain the cross-sectional variability of security returns. This model has been evaluated in the literature using the growth rate in per capita labor income.
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Rethinking the Conditional CAPM: The Impact of Financial Leverage
SSRN Electronic Journal, 2009In a framework in which the equity beta is decomposed into leverage and the beta of assets, this paper shows empirically the impact of financial leverage on the conditional CAPM. A firm's asset beta is estimated using asset returns constructed from market data not only on equity, but also on corporate bonds and loans.
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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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