The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
The Conditional CAPM and the Cross‐Section of Expected Returns
Open accessAbstract
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.
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Citations
Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
Sharpe, W. F. (1964) · The Journal of Finance · doi:10.1111/j.1540-6261.1964.tb02865.x · Cited by 19,441
Cited by
Accounting Information, Disclosure, and the Cost of Capital
LAMBERT, R., LEUZ, C., & VERRECCHIA, R. E. (2007) · Journal of Accounting Research · doi:10.1111/j.1475-679x.2007.00238.x · Cited by 2,586
… and the Cross-Section of Expected Returns
Harvey, C. R., Liu, Y., & Zhu, H. (2016) · Review of Financial Studies · doi:10.1093/rfs/hhv059 · Cited by 2,119
Liquidity and stock returns: An alternative test
Datar, V. T., Y. Naik, N., & Radcliffe, R. (1998) · Journal of Financial Markets · doi:10.1016/s1386-4181(97)00004-9 · Cited by 1,312
Conditioning variables and the cross-section of stock returns
Ferson, W. E., & Harvey, C. R. (1999) · The Journal of Finance · doi:10.1111/0022-1082.00148 · Cited by 839
Asset Pricing Models and Financial Market Anomalies
Avramov, D., & Chordia, T. (2006) · Review of Financial Studies · doi:10.1093/rfs/hhj025 · Cited by 523
Metadata
- Authors
- JAGANNATHAN, R., & WANG, Z.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1996-03
- Volume
- 51
- Issue
- 1
- Pages
- 3-53
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2170415678
- Cited by
- 2,535
- References
- 2
- FWCI
- 62.11
- Type
- journal article
- Language
- en
- Open access
- gold
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- JAGANNATHAN, R., & WANG, Z. (1996). The Conditional CAPM and the Cross‐Section of Expected Returns. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1996.tb05201.x
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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