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Please use this identifier to cite or link to this item: http://dspace.mediu.edu.my:8181/xmlui/handle/1721.1/3544
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dc.creatorLEWELLEN, JONATHAN-
dc.creatorNAGEL, STEFAN-
dc.date2003-09-16T19:24:19Z-
dc.date2003-09-16T19:24:19Z-
dc.date2003-09-16T19:24:19Z-
dc.date.accessioned2013-06-04T16:20:14Z-
dc.date.available2013-06-04T16:20:14Z-
dc.date.issued2013-06-05-
dc.identifierhttp://hdl.handle.net/1721.1/3544-
dc.identifier.urihttp://koha.mediu.edu.my:8181/xmlui/handle/1721-
dc.descriptionRecent studies suggest that the conditional CAPM might hold, period-by-period, and that time-varying betas can explain the failures of the simple, unconditional CAPM. We argue, however, that significant departures from the unconditional CAPM would require implausibly large time-variation in betas and expected returns. Thus, the conditional CAPM is unlikely to explain asset-pricing anomalies like book-to-market and momentum. We test this conjecture empirically by directly estimating conditional alphas and betas from short-window regressions (avoiding the need to specify conditioning information). The tests show, consistent with our analytical results, that the conditional CAPM performs nearly as poorly as the unconditional CAP-
dc.format318782 bytes-
dc.formatapplication/pdf-
dc.languageen_US-
dc.relationMIT Sloan School of Management Working Paper;4427-03-
dc.subjectTime-varying betas-
dc.subjectconditional CAPM-
dc.subjectasset-pricing anomalies-
dc.subjectbook-to-market-
dc.subjectmomentum-
dc.titleThe Conditional CAPM Does Not Explain Asset-pricing Anomalies-
dc.typeWorking Paper-
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