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- W2513468145 abstract "I show that the relevant component of beta-dynamics that influences average returns implied by any conditional asset pricing model is the component that covaries with riskless rate fluctuations. These fluctuations are sufficient to measure the asymptotic effect of conditioning information on average returns because they mirror changes in the pivotal conditioning variable: the representative investor’s expected IMRS. Implementing my riskless rate representation for average returns implied by the conditional CAPM, ICAPM, and APT, I find a remarkable improvement. For example, in striking contrast to extant evidence, the conditional CAPM explains 64% of the cross section of returns for 25 size and value portfolios and 62% for 175 anomaly-based test portfolios." @default.
- W2513468145 created "2016-09-16" @default.
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- W2513468145 date "2016-06-02" @default.
- W2513468145 modified "2023-09-28" @default.
- W2513468145 title "Estimating Conditional Asset Pricing Models Without Conditioning Information Data" @default.
- W2513468145 hasPublicationYear "2016" @default.
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