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A best choice among asset pricing models? The conditional capital asset pricing model in Australia

Durack, Nick; Durand, Robert; Maller, Ross

Description

We use Australian data to test the Conditional Capital Asset Pricing Model (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 the study by Jagannathan and Wang, 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 in...[Show more]

CollectionsANU Research Publications
Date published: 2004
Type: Journal article
URI: http://hdl.handle.net/1885/79470
Source: Accounting and Finance
DOI: 10.1111/j.1467-629X.2004.00107.x

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