Skip navigation
Skip navigation

A best choice among asset pricing models? The conditional CAPM in Australia.

Durack, Nick; Durand, Robert B; Maller, Ross A

Description

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]

CollectionsANU Research Publications
Date published: 2005
Type: Working/Technical Paper
URI: http://hdl.handle.net/1885/43032
http://digitalcollections.anu.edu.au/handle/1885/43032

Download

File Description SizeFormat Image
F9910.pdf323.91 kBAdobe PDFThumbnail


Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  23 August 2018/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator