Results 161 to 170 of about 343,694 (202)
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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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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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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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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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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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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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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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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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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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