Reportgreen1999

Conditioning Variables and the Cross-Section of Stock Returns

50 citations0/0 files storedNational Bureau of Economic Research

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

Abstract

The CAPM does have its erstwhile saviors.For example, studies find that dynamic 1 versions of the CAPM with time-varying parameters and/or broader specifications for the market portfolio perform better than traditional formulations of the model.Examples include Harvey (1989), Ferson and Harvey (1991), Pannikkath (1993), Ferson and Korajczyk (1995), Jagannathan andWang (1996) andCarhart, et al. (1996).See Ghysels (1998) for a recent critique of conditional CAPMs.

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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*1973Risk, Return, and Equilibrium: Empirical Tests 1976The arbitrage theory of capital asset pricing 1996Multifactor Explanations of Asset Pricing Anomalies 1973An Intertemporal Capital Asset Pricing Model 1981The relationship between return and market value of common stocks 1986Economic Forces and the Stock Market

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2004Momentum strategies: some bootstrap tests 2014Canonical correlation analysis 2004Equilibrium Asset Pricing Under Heterogeneous Information 2015The Pricing of Illiquidity as a Characteristic and as Risk 2009Applications of State Space Models in finance 2002Time-Varying Risk Premia and the Cross Section of Stock Returns

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