Traditional methods of modelling returns and testing the Capital Asset Pricing Model
(CAPM) do so at the mean of the conditional distribution. Instead, we model returns and test …

In this article we generalize Harvey's (1989) empirical specification of conditional asset
pricing models to allow for both time‐varying covariances between stock returns and …

Quantile regression is a very powerful tool for financial research and risk modelling, and we
believe that it has further applications that can provide significant insights in empirical work …

This paper develops a set of diagnostic tests which can shed light on why a particular model
is failing and indicate what steps might be taken to make the model consistent with asset …

The capital asset pricing model (CAPM) asserts that, in equilibrium, the expected return on
any asset equals the risk-free rate plus a risk premium proportional to the asset's" beta"-a …

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 …

This paper examines the validity of two widely used methods for forming conditional
predicted portfolio returns. The first method relies on a one-period, mean-variance theory of …

The capital asset pricing model (CAPM) of William Sharpe (1964) and John Lintner (1965)
marks the birth of asset pricing theory (resulting in a Nobel Prize for Sharpe in 1990). Before …

Quantile regression as introduced by Koenker and Bassett seeks to extend ideas of
quantiles to the estimation of conditional quantile functions--models in which quantiles of the …

The present study examines the Capital Asset Pricing Model (CAPM) for the Indian stock
market using monthly stock returns from 278 companies of BSE 500 Index listed on the …