The Conditional CAPM Does Not Explain Asset-Pricing Anomalies

By C. Mitchell Conover. 2007

899 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/eb3551dd9b63872442c03b3e33b85c0b822d8527

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Citations in the corpus

Value Versus Growth: Time-Varying Expected Stock Returns (2011, unknown): “We adopt the Perez-Quiros and Timmermann (2000) Markov switching framework with timevarying transition probabilities based on Hamilton (1989) and Gray (1996).”
On the global financial market integration “swoosh” and the trilemma (2019, unknown): “As stressed e.g. by Cochrane (2001), Lewellen and Nagel (2006) and Brusa, Ramadorai and Verdelhan (2014), a challenge to our conditional factor model is that it requires the econometrician to know the ‘‘true’’ state variables.”
Bayesian Analysis of Stochastic Betas (2005, unknown): “This may explain the implausibly large time-variation in beta, computed by rolling regressions in Lewellen and Nagel (2003), that is necessary to justify departures from the CAPM.”
Capital Market-Driven Corporate Finance (2009, background): “There is some debate over the persistence of these effects, with Baker &Wurgler (2002), Huang & Ritter (2008), and Chen & Zhao (2005) arguing that there is a long-term effect on capital structure, and Leary & Roberts (2005), Alti (2006), and Kayhan & Titman (2007) claiming less persistence.”
A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks (2012, unknown): “Hence, these models fail to capture the patterns of return comovement in the cross-section, and the resulting failure of the conditional CAPM (e.g., Lewellen and Nagel, 2006).”
A Financing-Based Misvaluation Factor and the Cross Section of Expected Returns (2010, methodology): “In the first approach, we estimate UMO loadings from daily returns over a short period, an approach also used in previous studies (e.g., Lewellen and Nagel (2006)).”
The cross-section of labor leverage and equity returns (2016, unknown): “Table 9 reports the average conditional betas constructed as in Lewellen and Nagel (2006) for portfolios of firms sorted on both measures of labor shares.”
A Skeptical Appraisal of Asset Pricing Tests (2010, unknown): “For example, zero-beta rates should be close to the risk-free rate, the risk premium on a factor portfolio should be close to its average excess return, and the cross-sectional slopes in conditional models should be determined by the volatility of the equity premium (see Lewellen and Nagel, 2006).”
Growth Opportunities, Technology Shocks, and Asset Prices (2014, unknown): “As a result, such models have limited ability to account for the empirical failures of the conditional CAPM (e.g. Lewellen and Nagel (2006)).”
Multifactor models and their consistency with the ICAPM (2012, unknown): “Our work is also related to Lewellen, Nagel, and Shanken (2010) and Lewellen and Nagel (2006), who advocate that cross-sectional tests of asset pricing models in general, and the conditional CAPM in particular, should impose the models’ theoretical restrictions on the factor risk prices.”
Government Spending, Political Cycles and the Cross Section of Stock Returns (2013, unknown): “In the second specification (row 2), we control for other wellknown stock return predictors: firm market capitalization (size), book-to-market ratio (B/M), momentum (mom), and firm-level time-varying beta computed from daily returns within each month (Lewellen and Nagel (2006)).”