Iqbal, Javed; Brooks, Robert; Galagedera, Don U.A. - In: Journal of International Money and Finance 29 (2010) 5, pp. 897-918
The CAPM as the benchmark asset pricing model generally performs poorly in both developed and emerging markets. We investigate whether allowing the model parameters to vary improves the performance of the CAPM and the Fama-French model. Conditional asset pricing models scaled by conditioning...