meaningfulness of traditional tests of the CAPM, and (3) suggests that the low-risk anomaly (Black et al. (1972)) reflects a reversal …

average riskless rate. Implementing this relation for the CAPM and ICAPM, I find a remarkable improvement. In striking … contrast to extant evidence, an unconditional CAPM with two factors (corresponding to expected beta and kappa) explains 58% of …

temporary increase in its CAPM beta estimate and a decrease in its CAPM alpha. The increasing effect of breadth of ownership on …-driven components of beta estimates that we find contribute to the empirical failure of the CAPM and the large returns to long …

Indonesia and the market factor in CAPM, or a single beta, is able to explain the portfolio returns. As a continuation of that … study, we now use the concept of conditional CAPM, or a dual beta, to test whether the performance of the dual beta can … winner and the loser. The conditional CAPM is applied by separating the market into upstream markets and downstream markets …

We revisit conditional CAPM by modeling alpha and beta as flexible functions of state variables identified via formal … sharply and becomes even negative during severe economic downturns but is positive and flat otherwise. Conditional CAPM … performs better than unconditional CAPM but does not fully explain the value premium. Our findings are consistent with a …