The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas

Hollstein, Fabian, Prokopczuk, Marcel and Wese Simen, Chardin ORCID: 0000-0003-4119-3024 (2020) The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas. Management Science, 66 (6). pp. 2291-2799.

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Abstract

When using high-frequency data, the conditional capital asset pricing model (CAPM) can explain asset-pricing anomalies. Using conditional betas based on daily data, the model works reasonably well for a recent sample period. However, it fails to explain the size anomaly as well as three out of six of the anomaly component excess returns. Using high-frequency betas, the conditional CAPM is able to explain the size, value, and momentum anomalies. We further show that high-frequency betas provide more accurate predictions of future betas than those based on daily data. This result holds for both the time-series and the cross-sectional dimensions.

Item Type:	Article
Uncontrolled Keywords:	Beta estimation, Conditional CAPM, High-frequency data
Depositing User:	Symplectic Admin
Date Deposited:	12 May 2020 09:40
Last Modified:	18 Jan 2023 23:52
DOI:	10.1287/mnsc.2019.3317
Related URLs:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3086365

Available Versions of this Item

• The Conditional CAPM Revisited: Evidence From High-Frequency Betas. (deposited 10 Sep 2019 07:36)
  • The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas. (deposited 12 May 2020 09:40) [Currently Displayed]