Results 201 to 210 of about 13,953 (241)
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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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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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Necessary Conditions for the CAPM
Journal of Economic Theory, 1997zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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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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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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