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• W2155607323 abstract "This paper demonstrates that a conditional version of the Capital Asset Pricing Model (CAPM) explains the cross section of expected returns, just as well as the three factor model of Fama and French. This is achieved by measuring beta (systematic risk) with short-, medium- and long-run components. The short-run component of beta is computed from daily returns over the prior year, while the medium-run beta component is from daily returns over the prior 5 years, and the long-run component from monthly returns over the prior 10 years." @default.
• W2155607323 created "2016-06-24" @default.
• W2155607323 creator A5071831385 @default.
• W2155607323 creator A5076962143 @default.
• W2155607323 date "2013-01-01" @default.
• W2155607323 modified "2023-09-26" @default.
• W2155607323 title "CAPM, Components of Beta and the Cross Section of Expected Returns" @default.
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• W2155607323 doi "https://doi.org/10.2139/ssrn.2268088" @default.
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