A best choice among asset pricing models? The conditional CAPM in Australia.
We use Australian data to test the Conditional CAPM (Jagannathan and Wang, 1996). Our results are generally supportive: the model performs well compared with a number of competing asset pricing models. In contrast to Jagannathan and Wang’s study, however, we find that the inclusion of the market for human capital does not ‘save’ the concept of the time-independent market beta (it remains insignificant). We find support for the role of a “small-minus-big” factor (Fama and French, 1993) in...[Show more]
|Collections||ANU Research Publications|
|F9910.pdf||323.91 kB||Adobe PDF|