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A conditional CAPM: implications for the estimation of systematic risk · Study

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PreprintA conditional CAPM: implications for the estimation of systematic risk

Alexandros E. Milionis2022

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Preprintgreen2022

A conditional CAPM: implications for the estimation of systematic risk

Alexandros E. Milionis · Dimitra K. Patsouri

33 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1993Common risk factors in the returns on stocks and bonds 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1992The Cross-Section of Expected Stock Returns 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1996Multifactor Explanations of Asset Pricing Anomalies 1992ARCH modeling in finance 1972Capital Market Equilibrium with Restricted Borrowing 1982Modern Portfolio Theory and Investment Analysis.

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Details

Year2022

Typepreprint

Published2022-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations33

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.4172134

openalex_workW1565893961

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2011Exchange rates and prices in the Netherlands and Britain over the past four centuries