The Conditional CAPM Does Not Explain Asset-pricing Anomalies

dc.creator	LEWELLEN, JONATHAN
dc.creator	NAGEL, STEFAN
dc.date	2003-09-16T19:24:19Z
dc.date	2003-09-16T19:24:19Z
dc.date	2003-09-16T19:24:19Z
dc.date.accessioned	2013-06-04T16:20:14Z
dc.date.available	2013-06-04T16:20:14Z
dc.date.issued	2013-06-05
dc.identifier	http://hdl.handle.net/1721.1/3544
dc.identifier.uri	http://koha.mediu.edu.my:8181/xmlui/handle/1721
dc.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
dc.format	318782 bytes
dc.format	application/pdf
dc.language	en_US
dc.relation	MIT Sloan School of Management Working Paper;4427-03
dc.subject	Time-varying betas
dc.subject	conditional CAPM
dc.subject	asset-pricing anomalies
dc.subject	book-to-market
dc.subject	momentum
dc.title	The Conditional CAPM Does Not Explain Asset-pricing Anomalies
dc.type	Working Paper

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