Recent studies suggest that the conditional CAPM might hold, period-by-period, and that time-varying betas can explain … the failures of the simple, unconditional CAPM. We argue, however, that significant departures from the unconditional CAPM … would require implausibly large time-variation in betas and expected returns. Thus, the conditional CAPM is unlikely to …

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

return effects. The paper also shows how asset pricing theory restricts the expected excess return components of betas …

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 …

for corporate leverage. The risk anomaly generates a simple tradeoff theory: At zero leverage, the overall cost of capital …. Empirically, the risk anomaly tradeoff theory and the traditional tradeoff theory are both consistent with the finding that firms … with low-risk assets choose higher leverage. More uniquely, the risk anomaly theory helps to explain why leverage is …