The conditional capital asset pricing model revisited: evidence from high-frequency betas

Hollstein, F., Prokopczuk, M. and Wese Simen, C. (2020) The conditional capital asset pricing model revisited: evidence from high-frequency betas. Management Science, 66 (6). pp. 2291-2799. ISSN 1526-5501 doi: 10.1287/mnsc.2019.3317

Abstract/Summary

When using high-frequency data, the conditional 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 3 out of 6 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
URI	https://reading-clone.eprints-hosting.org/id/eprint/82529
Identification Number/DOI	10.1287/mnsc.2019.3317
Refereed	Yes
Divisions	Henley Business School > Finance and Accounting
Publisher	INFORMS
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