Construct · 1 fields · 1 citations

conditional CAPM: a standalone construct

One name. One construct. A landmark on the map.

● anchor · a standalone construct Nearest construct by meaning·not indexed
conditionalCAPM1 CONSTRUCTConditional CAPMJAGANNATHAN · ASSET PRICING

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Asset pricing

a version of the CAPM that holds period by period with betas and the market premium varying over time, which can explain cross-sectional returns better than the static version.

In asset pricing, conditional CAPM refers to a version of the CAPM that holds period by period with betas and the market premium varying over time, which can explain cross-sectional returns better than the static version. This meaning comes from Jagannathan (1996) in The Journal of Finance.[1]

Unit
Recovery means
Measured by

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Nearby constructs

asset2 fields · 2 citationsjingle · one word, two constructsconditional3 fields · 3 citationsjingle · one word, three constructsmarket3 fields · 5 citationsjingle · one word, three constructs

References

  1. Jagannathan, R., & Wang, Z. (1996). The Conditional CAPM and the Cross‐Section of Expected Returns. The Journal of Finance, 51(1), 3-53. https://doi.org/10.1111/j.1540-6261.1996.tb05201.x

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