The Conditional CAPM Does Not Explain Asset-pricing Anomalies
Year of publication: |
2003-09-16
|
---|---|
Authors: | LEWELLEN, JONATHAN ; NAGEL, STEFAN |
Institutions: | Sloan School of Management, Massachusetts Institute of Technology (MIT) |
Subject: | Time-varying betas | conditional CAPM | asset-pricing anomalies | book-to-market | momentum |
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