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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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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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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 Efficacy of the Conditional CAPM: Improved Tests in an International Context
SSRN Electronic Journal, 2020Using a machine learning model known as a Long-Short Term Memory model to overcome high dimensionality obstacles, I jointly predict the conditional second moments of eight international indices and test the conditional Capital Asset Pricing Model (CAPM).
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Financial Review, 1996
AbstractRecent studies of the conditional Capital Asset Pricing Model (CAPM) are extended by modeling the first and second conditional moments separately, but estimating them jointly, allowing the isolation of time‐varying influences in the different moments.
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AbstractRecent studies of the conditional Capital Asset Pricing Model (CAPM) are extended by modeling the first and second conditional moments separately, but estimating them jointly, allowing the isolation of time‐varying influences in the different moments.
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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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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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Asset Valuation in a (Realistic) Conditional CAPM Setting
2014no ...
Stöckl, Stefan +2 more
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A Conditional Higher-Moment CAPM
International Review of Financial Analysis, 2023Cherif Guermat +2 more
exaly