| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9974 |
| 来源ID | Working 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 |
| URL | https://www.nber.org/papers/w9974 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/567599 |
| 推荐引用方式 GB/T 7714 | Jonathan Lewellen,Stefan Nagel. The Conditional CAPM does not Explain Asset-Pricing Anamolies. 2003. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w9974.pdf（409KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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