EconPapers    
Economics at your fingertips  
 

The conditional CAPM and the cross-section of expected returns

Ravi Jagannathan and Zhenyu Wang

No 208, Staff Report from Federal Reserve Bank of Minneapolis

Abstract: Most empirical studies of the static CAPM assume that betas remain constant over time and that the return on the value-weighted portfolio of all stocks is a proxy for the return on aggregate wealth. The general consensus is that the static CAPM is unable to explain satisfactorily the cross-section of average returns on stocks. We assume that the CAPM holds in a conditional sense, i.e., betas and the market risk premium vary over time. We include the return on human capital when measuring the return on aggregate wealth. Our specification performs well in explaining the cross-section of average returns.

Keywords: Capital; assets; pricing; model (search for similar items in EconPapers)
Date: 1996
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (670) Track citations by RSS feed

Downloads: (external link)
http://minneapolisfed.org/research/common/pub_detail.cfm?pb_autonum_id=488
http://minneapolisfed.org/research/sr/sr208.pdf (application/pdf)

Related works:
Journal Article: The Conditional CAPM and the Cross-Section of Expected Returns (1996) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedmsr:208

Ordering information: This working paper can be ordered from
http://www.minneapolisfed.org/pubs/

Access Statistics for this paper

More papers in Staff Report from Federal Reserve Bank of Minneapolis Contact information at EDIRC.
Bibliographic data for series maintained by Jannelle Ruswick ().

 
Page updated 2019-04-12
Handle: RePEc:fip:fedmsr:208