The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas
Published Online:22 Jan 2020https://doi.org/10.1287/mnsc.2019.3317
References
- (2015) Does realized skewness predict the cross-section of equity returns? J. Financial Econom. 118(1):135–167.Crossref, Google Scholar
- (2002) Illiquidity and stock returns: Cross-section and time-series effects. J. Financial Markets 5(1):31–56.Crossref, Google Scholar
- (1998) Answering the skeptics: Yes, standard volatility models do provide accurate forecasts. Internat. Econom. Rev. 39(4):885–905.Crossref, Google Scholar
- (2005a) A framework for exploring the macroeconomic determinants of systematic risk. Amer. Econom. Rev. 95(2):398–404.Crossref, Google Scholar
- (2006) Realized beta: Persistence and predictability. Fomby TB, Terrell D, eds. Advances in Econometrics: Econometric Analysis of Economic and Financial Time Series (Elsevier, New York), 1–40.Google Scholar
- (2005b) Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities. Econometrica 73(1):279–296.Crossref, Google Scholar
- (2003) Stock return characteristics, skew laws, and the differential pricing of individual equity options. Rev. Financial Stud. 16(1):101–143.Crossref, Google Scholar
- (1981) The relationship between return and market value of common stocks. J. Financial Econom. 9(1):3–18.Crossref, Google Scholar
- (2009) Realized kernels in practice: Trades and quotes. Econom. J. 12(3):1–32.Crossref, Google Scholar
- (2004) Econometric analysis of realized covariation: High frequency based covariance, regression, and correlation in financial economics. Econometrica 72(3):885–925.Crossref, Google Scholar
- (2016) Which beta is best? On the information content of option-implied betas. Eur. Financial Management 22(3):450–483.Crossref, Google Scholar
- (1972) The capital asset pricing model: Some empirical tests. Jensen M, ed. Studies in the Theory of Capital Markets (Praeger, New York), 79–121.Google Scholar
- (1973) The pricing of options and corporate liabilities. J. Political Econom. 81(3):637–654.Crossref, Google Scholar
- (2011) Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas. J. Financial Econom. 102(2):363–389.Crossref, Google Scholar
- (2016) Roughing up beta: Continuous vs. discontinuous betas and the cross-section of expected stock returns. J. Financial Econom. 120(3):464–490.Crossref, Google Scholar
- (2010) Jumps and betas: A new framework for disentangling and estimating systematic risks. J. Econometrics 157(2):220–235.Crossref, Google Scholar
- (2003) Measuring and modeling systematic risk in factor pricing models using high-frequency data. J. Empirical Finance 10(5):533–558.Crossref, Google Scholar
- (2012) Measuring equity risk with option-implied correlations. Rev. Financial Stud. 25(10):3113–3140.Crossref, Google Scholar
- (2016) Monthly beta forecasting with low-, medium- and high-frequency stock returns. J. Forecasting 35(6):528–541.Crossref, Google Scholar
- (2012) Option-implied measures of equity risk. Rev. Finance 16(2):385–428.Crossref, Google Scholar
- (2002) Who underreacts to cash-flow news? Evidence from trading between individuals and institutions. J. Financial Econom. 66(2–3):409–462.Crossref, Google Scholar
- (1999) Practical Nonparametric Statistics, 3rd ed. (Wiley, New York).Google Scholar
- (2002) Risk-neutral skewness: Evidence from stock options. J. Financial Quant. Anal. 37(3):471–493.Crossref, Google Scholar
- (1979) Risk measurement when shares are subject to infrequent trading. J. Financial Econom. 7(2):197–226.Crossref, Google Scholar
- (1979) Comovements in stock prices in the very short run. J. Amer. Statist. Assoc. 74(366):291–298.Google Scholar
- (1992) The cross-section of expected stock returns. J. Finance 47(2):427–465.Crossref, Google Scholar
- (1973) Risk, return, and equilibrium: Empirical tests. J. Political Econom. 81(3):607–636.Crossref, Google Scholar
- (2014) Daily data are bad for beta: Opacity and frequency-dependent betas. Rev. Asset Pricing Stud. 4(1):78–117.Crossref, Google Scholar
- (2016) Are sticky prices costly? Evidence from the stock market. Amer. Econom. Rev. 106(1):165–199.Crossref, Google Scholar
- (2018) Cross-sectional and time-series tests of return predictability: What is the difference? Rev. Financial Stud. 31(5):1784–1824.Crossref, Google Scholar
- (2001) Understanding the nature of the risks and the source of the rewards to momentum investing. Rev. Financial Stud. 14(1):29–78.Crossref, Google Scholar
- (1987) The role of conditioning information in deducing testable restrictions implied by dynamic asset pricing models. Econometrica 55(3):587–613.Crossref, Google Scholar
- (2006) Consistent ranking of volatility models. J. Econometrics 131(1):97–121.Crossref, Google Scholar
- (1997) Testing the equality of prediction mean squared errors. Internat. J. Forecasting 13(2):281–291.Crossref, Google Scholar
- (2016) Estimating beta. J. Financial Quant. Anal. 51(4):1437–1466.Crossref, Google Scholar
- (2016) Have we solved the idiosyncratic volatility puzzle? J. Financial Econom. 121(1):167–194.Crossref, Google Scholar
- (2015) Digesting anomalies: An investment approach. Rev. Financial Stud. 28(3):650–705.Crossref, Google Scholar
- (2018) Replicating anomalies. Rev. Financial Stud., ePub ahead of print December 10, https://doi.org/10.1093/rfs/hhy131.Crossref, Google Scholar
- (1996) The conditional CAPM and the cross-section of expected returns. J. Finance 51(1):3–53.Crossref, Google Scholar
- (1993) Returns to buying winners and selling losers: Implications for stock market efficiency. J. Finance 48(1):65–91.Crossref, Google Scholar
- (2005) The model-free implied volatility and its information content. Rev. Financial Stud. 18(4):1305–1342.Crossref, Google Scholar
- (2016) Ex-post risk premia tests using individual stocks: The IV-GMM solution to the EIV problem. Working paper, Georgia Tech, Atlanta, GA.Google Scholar
- (2001) Resurrecting the (C) CAPM: A cross-sectional test when risk premia are time-varying. J. Political Econom. 109(6):1238–1287.Crossref, Google Scholar
- (2006) The conditional CAPM does not explain asset-pricing anomalies. J. Financial Econom. 82(2):289–314.Crossref, Google Scholar
- (1965) The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Rev. Econom. Statist. 47(1):13–37.Crossref, Google Scholar
- (2005) Housing collateral, consumption insurance, and risk premia: An empirical perspective. J. Finance 60(3):1167–1219.Crossref, Google Scholar
- (1969) The evaluation of economic forecasts. Mincer J, ed. Economic Forecasts and Expectations: Analysis of Forecasting Behavior and Performance (National Bureau of Economic Research, Cambridge, MA), 1–46.Google Scholar
- (1966) Equilibrium in a capital asset market. Econometrica 34(4):768–783.Crossref, Google Scholar
- (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55(3):703–708.Crossref, Google Scholar
- (2011) Volatility forecast comparison using imperfect volatility proxies. J. Econometrics 160(1):246–256.Crossref, Google Scholar
- (2012) Does beta move with news? Firm-specific information flows and learning about profitability. Rev. Financial Stud. 25(9):2789–2839.Crossref, Google Scholar
- (2005) Labor income and predictable stock returns. Rev. Financial Stud. 19(1):1–44.Crossref, Google Scholar
- (1977) Estimating betas from nonsynchronous data. J. Financial Econom. 5(3):309–327.Crossref, Google Scholar
- (1964) Capital asset prices: A theory of market equilibrium under conditions of risk. J. Finance 19(3):425–442.Google Scholar
- (2006) Information uncertainty and stock returns. J. Finance 61(1):105–137.Crossref, Google Scholar

