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evidence on cross-sectional return predictability and the failure of standard (consumption) CAPM models and their conditional …
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evidence on cross-sectional return predictability and the failure of standard (consumption) CAPM models and their conditional …
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evidence on cross-sectional return predictability and the failure of standard (consumption) CAPM models and their conditional …
Persistent link: https://www.econbiz.de/10012460106
This paper evaluates a specification for conditional beta models following Fama and French (2019). In this paper, I reject the Fama and French model that assumes characteristics are conditional betas in favor of a linear conditional beta model following Shanken (1990). Model-implied zero-beta...
Persistent link: https://www.econbiz.de/10012843588