The Conditional CAPM and the Cross-Section of Expected Returns

Keywords

Capital asset pricing model, Economics, Proxy (statistics), Econometrics, Market portfolio

References

• The conditional CAPM and the cross section of expected returns : evidence for the Canadian marketAthanasios S Margellos — 1998
• Missing assets, measuring the market, and testing the capital asset pricing modelRobert F. Stambaugh — 1981
• The Empirical Foundations of the Arbitrage Pricing Theory I: the Empirical TestsBruce N. Lehmann, David M. Modest — 1985
• Misspecification of capital asset pricing : Empirical anomalies based on earnings' yields and market valuesMarc R. Reinganum — 1981
• A Cross-Sectional Test of a Production-Based Asset Pricing ModelJohn Cochrane — 1992
• Multivariate proxies and asset pricing relations: Living with the Roll critiqueJay Shanken — 1987
• Risk and Return in an Equilibrium Apt: Application of a New Test MethodologyGregory Connor, Robert A. Korajczyk — 1988
• On the exclusion of assets from tests of the two-parameter model: A sensitivity analysisRobert F. Stambaugh — 1982
• On Selection Biases in Book-to-Market Based Tests of Asset Pricing ModelsWilliam J. Breen, Robert A. Korajczyk — 1996
• Seasonalities in security returns: The case of earnings announcementsV. V. Chari, Ravi Jagannathan, Aharon R. Ofer — 1988
• Banking in computable general equilibrium economiesJavier Dı́az-Giménez, Edward C. Prescott, Terry J. Fitzgerald — 1992
• MULTIVARIATE TESTS OF FINANCIAL MODELS A New ApproachMichael R. Gibbons — 1982
• Time Series Analysis of Inefficient Financial MarketsPeter Bossaerts — 1994
• Multivariate tests of the zero-beta CAPMJay Shanken — 1985
• Finite sample properties of the generalized method of moments in tests of conditional asset pricing modelsWayne E. Ferson, Stephen R. Foerster — 1994
• Predicting returns in the stock and bond marketsDonald B. Keim, Robert F. Stambaugh — 1986
• An exploratory investigation of the firm size effectK. L. Chan — 1985
• Mean-Variance Theory in Complete MarketsPhilip H. Dybvig, Jonathan E. Ingersoll — 1982
• Stock prices, inflation, and the term structure of interest ratesJ. Bradford De Long — 1974
• Debt/Equity Ratio and Expected Common Stock Returns: Empirical EvidenceLaxmi Chand Bhandari — 1988

Cited by

• Risk Aspects of Investment-Based Social Security Reform: IntroductionJohn Y. Campbell, Martin Feldstein — 2001
• On the interaction between firm level variables, the CAPM beta, and stock returnsLaura Panattoni — 2009
• Essays in cross-sectional asset pricingScott Cederburg — 2011
• Introduction to Empirical Methods in FinanceJohn Y. Campbell, Andrew W. Lo, A. Craig MacKinlay — 2008
• ¿Puede un factor réplica del crecimiento económico futuro (PIB) explicar los rendimientos de los/News Related to Future Gross Domestic Product (GDP) Growth Factor on Asset Pricing on the Spanish Stock Market?Alfredo Juan Grau-Grau — 2014
• The sensitivity of Fama-French factors to economic uncertaintyAmélie Charles, Olivier Darné, Zakaria Moussa — 2014
• Sincronización pasiva en la gestión de carterasJuan Carlos Matallín Sáez — 2001
• Testing the risk and return trade-off in the Athens stock exchangeTheodoros Spyridis — 2009
• Two Essays in Empirical Asset PricingAbdullah M. Noman — 2013
• Forecasting the Economic State with Financial Market Information and Term Structure of Interest RatesHeli Kinnunen — 2003
• Preferencias y valoración de activos: un panorama sobre la persistencia de hábitoBelén Nieto — 2006
• New Evidence on Conditional Factor ModelsPaulo F. Maio — 2018
• Reexamining the Robustness of the Market Value of EquityXavier Garza–Gómez, Jiro Hodoshima, Michio Kunimura — 2000
• Segment Information Disclosure and the Cost of Equity CapitalJunwook Yoo, Igor Semenenko — 2012
• Motivating, constructing and testing the Fama-French three factor model on the Johannesburg Stock ExchangePatryk Basiewicz — 2011
• The Dynamics of Smoothing: What Drives Appraisal Smoothing?Youngha Cho, Soosung Hwang, Yongki Lee — 2011
• Three Essays on Return Predictability and Decentralized Investment ManagementDashan Huang — 2013
• Expectations of equity risk premia, volatility and asymmetryJohn R. Graham, Campbell R. Harvey, Wayne E. Ferson — 2003
• A Three-Moment International Asset-Pricing Model: Theory and EvidenceVihang R. Errunza, Oumar Sy — 2005
• Assembling International Equity Datasets -- Review of Studies on the Cross-Section of Common StocksAntonina Waszczuk — 2014

Related papers

• The Value Premium and Time-Varying Unsystematic RiskChris Brooks, Xiafei Li, Joëlle Miffre — 2007
• State-dependent size and value premium: evidence from a regime-switching asset pricing modelBingxin Li, Natália Scotto Piqueira — 2019
• Cash-Flow Risk, Discount Risk, and the Value PremiumTano Santos, Pietro Veronesi — 2005
• A two‐pass model study of the CAPM: evidence from the UK stock marketTienyu Hwang, Simon S. Gao, Heather Owen — 2012
• The Cross-Section Excess Returns: Risk Factors and Investor SentimentMouna Abdelhédi, Mouna Boujelbène Abbes, Younés Boujelbène — 2009
• The Conditional CAPM and the Cross-Section of Expected ReturnsRavi Jagannathan, Zhenyu Wang — 1996
• The Conditional CAPM and the Cross-Section of Expected ReturnsRavi Jagannathan, Zhenyu Wang — 1996