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Showing 1 to 4 of 4 for “"conditional CAPM"”.
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The conditional CAPM and the cross section of expected returns : evidence for the Canadian market
In this study we test a conditional version of the CAPM, proposed by Jagannathan and Wang (1996), that allows betas (Ý) to vary over time as proxied by the yield spread between three-month Prime Corporate Paper and the three-month T-Bill rate ([Special characters omitted.] ). The model also …
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Essays on Macro-Finance Relationships
… The third essay investigates time variation in CAPM betas for book-to-market and momentum portfolios across stock market volatility regimes. For our analysis, we jointly model market and portfolio returns using a two-state Markov-switching process, with beta and the market risk premium allowed …
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Transition equity markets of Central Europe: volatility, predictability, integration
… previously documented characteristics of the unconditional distribution of stock returns normally used to justify the use of the GARCH class of the models of conditional volatility. Strong GARCH effects are apparent in all series examined. The estimates of asymmetric models of conditional …
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Conditional Asset Pricing Models via Machine Learnings for the Chinese Stock Market
… market, this dissertation develops a unified conditional asset pricing framework that integrates time-varying risk exposures, distributional asymmetry, and high-dimensional information. The analysis addresses three interrelated challenges in empirical asset pricing: state-dependent factor …