The conditional CAPM and the cross-section of expected returns

• 成果类型: Article
• 署名作者: Jagannathan, R; Wang, ZY
• 署名单位: Hong Kong University of Science & Technology; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; Columbia University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329301
• 发表日期: 1996
• 页码: 3-53
• 关键词: asset pricing-models; multivariate tests; stock returns; firm size; MARKET; RISK; equilibrium; arbitrage; beta; COVARIANCES

摘要

Most empirical studies of the static CAPM assume that betas remain constant over time and that the return on the value-weighted portfolio of all stocks is a proxy for the return on aggregate wealth. The general consensus is that the static CAPM is unable to explain satisfactorily the cross-section of average returns on stocks. We assume that the CAPM holds in a conditional sense, i.e., betas and the market risk premium vary over time. We include the return on human capital when measuring the return on aggregate wealth. Our specification performs well in explaining the cross-section of average returns.