We develop a methodology for bias-corrected return-premium estimation from cross-sectional regressions of individual … (though not for the CAPM). There is no pricing evidence for the book-to-market and momentum factors with all characteristics …

The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence … of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical … results regarding the relation between market Beta and average return, Fama and French (1996) conclude that the CAPM is no …

of realized market-portfolio excessreturn, with the estimation of the security market plane (SMP) model. The study has … the capital asset pricing model (CAPM). Enhanced accuracy of expected asset-return, in turn, may lead to more accurate …

CAPM and Fama-French four factor model, using t-scores of estimated betas as a proxy for estimation risk. I show that this … estimation risk, is itself a priced risk. I primarily consider parameter uncertainty in the context of factor models such as the … form of estimation risk is priced. I then construct a monthly risk factor from hedge portfolios and show that this factor …

When using high-frequency data, the conditional CAPM can explain asset-pricing anomalies. Using conditional betas based … as well as 3 out of 6 of the anomaly component excess returns. Using high-frequency betas, the conditional CAPM is able …

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 …

novel conditional moment estimation method that is simple, non-parametric, and modifies the realized volatility approach to … work for long-horizon returns. Long-short portfolios sorted on size, value, and momentum have CAPM betas that can reverse …