emerging consensus that betas are in fact time-varying, leading to the prominence of the conditional CAPM. Set against that …

In this paper, we investigate whether the international version of CAPM can price rational and irrational sentiments of … U.S. individual and institutional investor sentiments. The results show that the CAPM prices rational sentiments driven … positively related to returns predicted, as well as those not predicted by the CAPM. We also compare these findings with the …

asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market …

proposed measure is used in pricing portfolios reflecting the size, value, and momentum premia. The conditional CAPM of … Jagannathan and Wang (1996) is found to best the performance of both the simple CAPM and the ICAPM of Petkova (2006). Moreover, it …

Merton�s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well …

. Such prices determine intrinsic returns that satisfy the CAPM equation. This paper shows that assets that pay a constant … predicts slightly higher discount rates than the CAPM. Empirical evidence supporting the CAPM cannot reject the RVT at a …

capital in the emerging markets. The Capital Asset Pricing Model (CAPM) that is most often used for this purpose in the …. Various factor models have been proposed to overcome the shortcomings of the CAPM. This paper examines both the CAPM and the … countries. We find, as expected, that the CAPM is not able to do this task. However, a four-factor model, including factors such …

emerging consensus that betas are in fact time-varying, leading to the prominence of the conditional CAPM. Set against that …