Does the Conditional CAPM Explain Asset Pricing Anomalies? Evidence from the Istanbul Stock Exchange

This paper tests whether the conditional CAPM can explain size, book-to-market, momentum and illiquidity effects utilizing data from the Istanbul Stock Exchange (ISE). The conditional CAPM mostly fails for these standard asset pricing anomalies with statistically significant risk-adjusted portfolio returns remaining after we allow betas to vary over time. Although market betas do vary significantly, the intertemporal variation is not nearly large enough to explain the asset pricing anomalies considered