haku: @author Wang, Z. / yhteensä: 7
viite: 4 / 7
Tekijä: | Jagannathan, R. Wang, Z. |
Otsikko: | The conditional CAPM and the cross-section of expected returns |
Lehti: | Journal of Finance
1996 : MAR, VOL. 51:1, p. 3-54 |
Asiasana: | FINANCE EXPECTATIONS BETA FACTOR |
Kieli: | eng |
Tiivistelmä: | 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. |
SCIMA