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| Tekijä: | Lewellen, J. Nagel, S. |
| Otsikko: | The conditional CAPM does not explain asset-pricing anomalies |
| Lehti: | Journal of Financial Economics
2006 : NOV, VOL. 82:2, p. 289-314 |
| Asiasana: | assets CAPM pricing time |
| Kieli: | eng |
| Tiivistelmä: | Recent studies suggest that the conditional CAPM holds, period by period, and that time-variation in risk and expected returns can explain why the unconditional CAPM fails. In contrast, this study argues that variation in betas and the equity premium would have to be implausibly large to explain important asset-pricing anomalies like momentum and the value premium. The study also provides a simple new test of the conditional CAPM using direct estimates of conditional alphas and betas from short-window regressions, avoiding the need to specify conditioning information. |
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