Kan, Raymond (contributor); Robotti, Cesare (contributor) - 2007
, we find no evidence that conditional and intertemporal CAPM-type specifications such
as the Campbell (1996), Cochrane … cover the
period from 1952/1 to 1997/12 (552 monthly observations). The only exception is the consump-
tion CAPM, for which … monthly models, we consider six different empirical specifications. The first model is the
CAPM, which assumes that the SDF is …