Title | ||
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The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas |
Abstract | ||
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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. |
Year | DOI | Venue |
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2020 | 10.1287/mnsc.2019.3317 | MANAGEMENT SCIENCE |
Keywords | DocType | Volume |
beta estimation,conditional CAPM,high-frequency data | Journal | 66 |
Issue | ISSN | Citations |
6 | 0025-1909 | 0 |
PageRank | References | Authors |
0.34 | 0 | 3 |
Name | Order | Citations | PageRank |
---|---|---|---|
Fabian Hollstein | 1 | 0 | 0.34 |
Marcel Prokopczuk | 2 | 0 | 0.34 |
Chardin Wese Simen | 3 | 0 | 0.34 |