"When risk-factor loadings are time-varying and unobservable, investors are forced to form beliefs about the levels of their loadings. The learning process involved in forming these beliefs has normative implications for asset-pricing tests. This paper develops an equilibrium model of learning...

We complement the conditional CAPM by introducing unobservable long-run changes in risk factor loadings. In this environment, investors rationally 'learn' the long-level of factor loadings from the observation of realized returns. As a direct consequence of this assumption, conditional betas are...

We complement the conditional CAPM by introducing unobservable long-run changes in risk factor loadings. In this environment, investors rationally 'learn' the long-level of factor loadings from the observation of realized returns. As a direct consequence of this assumption, conditional betas are...

In the first three decades of CRSP data, value stocks have higher betas than growth stocks. Later on, the ranking is reversed and the gap in beta widens. What makes growth strategies nowadays bear more market risk than value strategies? What are the causes of the reversal in the ranking of...

Mandatory contributions to defined benefit pension plans provide a unique identification strategy to estimate the market's assessment of the value of internal resources controlling for investment opportunities. The drop in prices following these cash outflows is magnified for firms that appear a...