Earticle

초록

영어

Using short-window regressions, prior studies have shown that the conditional CAPM performs as poorly as the unconditional CAPM and that unconditional alphas are too large to be explained by the covariance between conditional betas and market risk premium. I examine the extent to which these results are driven by estimation biases in short-window regressions. Even when the true time-varying beta has highly transient components, beta estimates from these short-window regressions can be estimated to highly persistent because of yearly portfolio reformulations that are commonly employed in empirical studies. I show that, under these circumstances, large non-zero alpha estimates from short-window regressions are consistent with the conditional CAPM and the covariance estimates between conditional betas and market risk premium are biased downward and can have large estimation errors.

목차

Abstract
Ⅰ. Introduction
Ⅱ. A Brief Summary of the Empirical Results in LN
Ⅲ. The Effect of Portfolio Formation on Autocorrelation Estimates
Ⅳ. The Effect of Persistence in Conditional Betas on Conditional Alpha Estimates
V. Estimation Errors in cov(βt, γt)
VI. Conclusion
References
Appendix

키워드

저자

• Jaewon Choi [ University of Illinois Urbana-Champaign and Yonsei University ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  재무연구 [Asian Review of Financial Research]

• 간기

  계간

• pISSN

  1229-0351

• eISSN

  2713-6531

• 수록기간

  1988~2026

• 등재여부

  KCI 등재,SCOPUS

• 십진분류

  KDC 325 DDC 330