search query: @indexterm BETA FACTOR / total: 91
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Author: | Jagannathan, R. Wang, Z. |
Title: | The conditional CAPM and the cross-section of expected returns |
Journal: | Journal of Finance
1996 : MAR, VOL. 51:1, p. 3-54 |
Index terms: | FINANCE EXPECTATIONS BETA FACTOR |
Language: | eng |
Abstract: | Most empirical studies of the static CAPM assume that betas remain constant over time and that the return on the value-weighted portfolio of all stocks is a proxy for the return on aggregate wealth. The general consensus is that the static CAPM is unable to explain satisfactorily the cross-section of average returns on the stocks. The authors assume that the CAPM holds in a conditional sense, i.e., betas and the market risk premium vary over time. The authors include the return on human capital when measuring the return on aggregate wealth. |
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