Durack, Nick; Durand, Robert B.; Maller, Ross A. - In: Accounting and Finance 44 (2004) 2, pp. 139-162
We use Australian data to test the Conditional Capital Asset Pricing Model (Jagannathan and Wang, 1996). Our results are generally supportive: the model performs well compared with a number of competing asset pricing models. In contrast to the study by Jagannathan and Wang, however, we find that...
