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来源类型Working Paper
规范类型报告
DOI10.3386/w9974
来源IDWorking Paper 9974
The Conditional CAPM does not Explain Asset-Pricing Anamolies
Jonathan Lewellen; Stefan Nagel
发表日期2003-09-22
出版年2003
语种英语
摘要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 CAPM.
主题Financial Economics ; Portfolio Selection and Asset Pricing
URLhttps://www.nber.org/papers/w9974
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/567599
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Jonathan Lewellen,Stefan Nagel. The Conditional CAPM does not Explain Asset-Pricing Anamolies. 2003.
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