Skip to main content

Testing and comparing conditional CAPM with a new approach in the cross-sectional framework

Messis, P, Alexandridis, Antonis, Zapranis, Achilleas (2014) Testing and comparing conditional CAPM with a new approach in the cross-sectional framework. In: International work-conference on Time Series 2014, June 25th-27th, 2014, Granada, Spain.

PDF - Author's Accepted Manuscript
Download (204kB) Preview
[img]
Preview

Abstract

This study examines the conditional relationship between beta and return for stocks traded on S&P 500 for the period from July 2001 to June 2011. The portfolios formed based on the Book value per share and betas using monthly data. A novel approach for capturing time variation in betas whose pattern is treated as a function of market returns is developed and presented. The estimated coefficients of a nonlinear regression constitute the basis of creating a two factor model. Our results indicate that the proposed specification outperforms alternative models in explaining the cross-section of returns.

Item Type: Conference or workshop item (Paper)
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Sciences > School of Mathematics Statistics and Actuarial Science
Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Antonis Alexandridis
Date Deposited: 04 Jun 2014 12:19 UTC
Last Modified: 29 May 2019 12:38 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/41264 (The current URI for this page, for reference purposes)
  • Depositors only (login required):

Downloads

Downloads per month over past year