this paper, we compare two formulations of the Capital Asset Pricing Model. The traditional CAPM suggests that the … appropriate measure of an asset's risk is the covariance of the asset's return with the market return. The consumption CAPM, on …

break the CAPM beta of a stock with the market portfolio into two components, one reflecting news about the market's future … this can explain their higher average returns. The poor performance of the CAPM since 1963 is explained by the fact that …

We apply the method of constrained asset share estimation (CASE) to test the mean-variance efficiency (MVE) of the …

-history assets, but for the shorter-history assets as well. To account for the remaining parameter uncertainty, or estimation risk … the value of using the combined sample of histories and accounting for estimation risk, as compared to truncating the … sample to produce equal-length histories or ignoring estimation risk by using maximum-likelihood estimates …

We examine the prediction of Merton's intertemporal CAPM that time varying risk premiums arise from the conditional …

Jagannathan (1997) and a common data set. The models are the CAPM, the Consumption CAPM, the Jagannathan and Wang (1996 …) conditional CAPM, the Campbell (1996) dynamic asset pricing model, the Cochrane (1996) production-based model, and the Fama …