Year: 1999
Type: report
Abstract: The CAPM does have its erstwhile saviors.For example, studies find that dynamic 1 versions of the CAPM with time-varying parameters and/or broader specifications for the market portfolio perform better than traditional formulations of the model.Examples include Harvey (1989), Ferson and Harvey (1991), Pannikkath (1993), Ferson and Korajczyk (1995), Jagannathan andWang (1996) andCarhart, et al. (1996).See Ghysels (1998) for a recent critique of conditional CAPMs.
DOI: 10.3386/w7009
Authors: Wayne Ferson, Campbell Harvey
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2890230803