Implications of factor-based asset pricing models for estimation of expected returns and for portfolio selection are …

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 …