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http://dspace.mediu.edu.my:8181/xmlui/handle/1721.1/3544| Title: | The Conditional CAPM Does Not Explain Asset-pricing Anomalies |
| Keywords: | Time-varying betas conditional CAPM asset-pricing anomalies book-to-market momentum |
| Issue Date: | 5-Jun-2013 |
| Description: | Recent 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 |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/1721 |
| Other Identifiers: | http://hdl.handle.net/1721.1/3544 |
| Appears in Collections: | MIT Items |
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