Explaining the Failure of the Unconditional CAPM with the Conditional CAPM

The authors thank editor Gustavo Manso, the anonymous associated editor, and two anonymous referees for comments and Daniel Andrei, Nina Baranchuk, Bruno Biais, Martin Boyer, Jaewon Choi, Jean-Edouard Colliard, Alexandre Corhay, Julien Cujean, Christian Dorion, Francois Derrien, Olivier Dessaint, Matthias Efing, Thierry Foucault, Niushan Gao, Denis Gromb, Johan Hombert, Raymond Kan, Mariana Khapko, Robert Kieschnick, Nan Ma, Augustin Landier, Hugues Langlois, Ruomeng Liu, Stefano Lovo, Jean-Marie Meier, Vikram Nanda, Dino Palazzo, Julien Penasse, Alejandro Rivera, Ioanid Rosu, Alexey Rubtsov, Daniel Schmidt, Mike Simutin, Anders Trolle, Guillaume Vuillemey, Jason Wei, Kelsey Wei, Foivos Xanthos, Han Xia, Steven Xiao, Yexiao Xu, Harold Zhang, Feng Zhao, Ghuofu Zhou, Marius Zoican, and seminar and conference participants at HEC Paris, Ryerson University, Société Canadienne de Science Économique, the University of Texas at Dallas, and the University of Toronto for insightful comments.