Resurrecting the Conditional CAPM with Dynamic Conditional Correlations

Turan G. Bali, R. Engle
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引用次数: 18

Abstract

This paper provides a time-series and cross-sectional investigation of the conditional and unconditional capital asset pricing model (CAPM). The unconditional CAPM fails, but the conditional CAPM with dynamic conditional correlations (DCC) succeeds in generating a significantly positive risk-return tradeoff. The conditional alpha estimates indicate that the time-varying conditional covariances explain the industry, size and value premiums, but the momentum profits cannot be explained by the conditional CAPM. The multivariate GARCH-in-mean model with DCC provides an accurate characterization of the conditional betas that significantly covary with the expected market risk premium to explain stock market anomalies. The paper also examines the significance of intertemporal hedging demand identified by the covariation of portfolio returns with the innovations in macroeconomic variables. The results show that only inflation and dividend related shocks have significant risk premia.
基于动态条件关联的条件CAPM的复活
本文对有条件和无条件资本资产定价模型(CAPM)进行了时间序列和横断面研究。无条件CAPM失败了,但具有动态条件相关性(DCC)的条件CAPM成功地产生了显著的正风险收益权衡。条件α估计表明时变条件协方差解释了行业、规模和价值溢价,但动量利润不能用条件CAPM解释。具有DCC的多变量GARCH-in-mean模型提供了与预期市场风险溢价显著协变的条件贝塔的准确表征,以解释股市异常。本文还考察了由投资组合收益协变识别的跨期套期保值需求与宏观经济变量创新的意义。结果表明,只有通货膨胀和股息相关冲击具有显著的风险溢价。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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