We revisit conditional CAPM by modeling alpha and beta as flexible functions of state variables identified via formal variable selection. In post-1963 sample, beta of the value premium comoves strongly with unemployment, inflation, and price-earnings ratio in a countercyclical manner. We also...

Current studies highlight asymmetric asset pricing in different environmental states. By dividing China's aggregate consumption into two specific sets, we ferret out two heterogeneous consumption volatilities, where the one positively mirrors good times and optimistic sentiment, and the other...