The conditional CAPM does not explain asset-pricing anomalies

• 成果类型: Article
• 署名作者: Lewellen, Jonathan; Nagel, Stefan
• 署名单位: Dartmouth College; Stanford University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2005.05.012
• 发表日期: 2006
• 页码: 289-314
• 关键词: Asset pricing tests; conditional capm; Time-varying betas; Value; momentum

摘要

Recent studies suggest that the conditional CAPM holds, period by period, and that time-variation in risk and expected returns can explain why the unconditional CAPM fails. In contrast, we argue that variation in betas and the equity premium would have to be implausibly large to explain important asset-pricing anomalies like momentum and the value premium. We also provide a simple new test of the conditional CAPM using direct estimates of conditional alphas and betas from short-window regressions, avoiding the need to specify conditioning information. The tests show that the conditional CAPM performs nearly as poorly as the unconditional CAPM, consistent with our analytical results. (c) 2006 Elsevier B.V. All rights reserved.