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- W2125898654 abstract "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." @default.
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- W2125898654 date "2003-01-01" @default.
- W2125898654 modified "2023-09-27" @default.
- W2125898654 title "The Conditional CAPM Does Not Explain Asset-pricing Anomalies" @default.
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- W2125898654 doi "https://doi.org/10.2139/ssrn.441341" @default.
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