Full-text of this article is not available in this e-prints service. This article was originally published in American Academy of Business, published by and copyright American Academy of Business, Cambridge.

Purpose – The paper examines the conditional capital asset pricing model (CCAPM) of Jagannathan and Wang using the UK data and develops a data-driven measure of beta instability risk that is pertinent to the UK stock market. In contrast to the view that the main part of the Jagannathan and...