The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas

• 成果类型: Article
• 署名作者: Hollstein, Fabian; Prokopczuk, Marcel; Simen, Chardin Wese
• 署名单位: Leibniz University Hannover; University of Reading
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2019.3317
• 发表日期: 2020
• 页码: 2474-2494
• 关键词: beta estimation; conditional capm; high-frequency data

摘要

When using high-frequency data, the conditional capital asset pricing model (CAPM) can explain asset-pricing anomalies. Using conditional betas based on daily data, the model works reasonably well for a recent sample period. However, it fails to explain the size anomaly as well as three out of six of the anomaly component excess returns. Using high-frequency betas, the conditional CAPM is able to explain the size, value, and momentum anomalies. We further show that high-frequency betas provide more accurate predictions of future betas than those based on daily data. This result holds for both the time-series and the cross-sectional dimensions.