volatility, realized beta, conditional CAPM, business cycle A Framework for Exploring the Macroeconomic Determinants of … equation is replaced by a conditional CAPM model, (see, e.g., Andrew Ang and Josephn Chen, 2004, and Gergana Jostova and … and HEC, University of Montréal. Jagannathan, Ravi and Wang, Zhenyu. “The Conditional CAPM and the Cross-Section of Stock …

and negative unconditional capital asset pricing model (CAPM) alphas in the post-1980 period. I show that the conditional … CAPM resolves the performance difference between high- and low-distress stocks. In particular, financially distressed …

Recent studies suggest that the conditional CAPM might hold, period-by-period, and that time-varying betas can explain … would require implausibly large time-variation in betas and expected returns. Thus, the conditional CAPM is unlikely to …, consistent with our analytical results, that the conditional CAPM performs nearly as poorly as the unconditional CAP …

CAPM in the Russian stock market. The authors test the unconditional and conditional CAPM specifications on a sample of …

. Using our new method, we examine the performance of the conditional CAPM and the conditional Fama–French three-factor model … the conditional CAPM, both models fail to explain well-known asset-pricing anomalies. Moreover, for both models, the …

cases for which the unconditional CAPM can be rejected. Although the regime-switching conditional CAPM can still be rejected …

the methodology introduced in Lewellen and Nagel (2006). Our results show that the conditional CAPM fares no better than …