Conditional risk

• 成果类型: Article
• 署名作者: Gormsen, Niels Joachim; Jensen, Christian Skov
• 署名单位: University of Chicago; National Bureau of Economic Research; Bocconi University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2024.103933
• 发表日期: 2024
• 关键词: Asset pricing; conditional capm; factor models; Time-varying discount rates

摘要

We study the extent to which time-variation in market betas influence estimates of CAPM alphas. Given the observed variation in conditional market betas, market risk premia, and market variance, the required compensation for conditional market risk can, in theory, be as large as the unconditional equity premium. We implement the conditional CAPM using state-of-the-art methods in a broad global sample. We find that accounting for conditional risk helps explain the return on all the major anomalies we consider and that conditional risk explains two percentage points of alpha for value, investment, and momentum strategies in recent years.