This paper proposes alternative specifications of the conditional CAPM with dynamic conditional beta and tests the models' performance in explaining the value premium for the period 1963-2011. The conditional alphas on the value-minus-growth portfolio are estimated to be economically and...

Structural models of default can identify asset value dynamics and the location of the default boundary from either (observable) credit spreads or (latent) default probabilities. The latter approach uses historical default rates as proxies, which provide such low statistical power that...

This paper examines an issue overlooked in the finance and economics literature: time variation in announcement volatility or event risk. We combine long spans of high-frequency data with a flexible parametric model of returns, which al- lows to identify announcement returns, capture intraday...

A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book-to-market, momentum, and industry portfolios indicate that the...