A Best Choice Among Asset Pricing Models? The Conditional Capital Asset Pricing Model in Australia

N.J. Durack, Robert Durand, R.A. Maller

Research output: Contribution to journalArticle

42 Citations (Scopus)

Abstract

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 with a number of competing asset pricing models. In contrast to the study by Jagannathan and Wang, however, we find that the inclusion of the market for human capital does not save the concept of the time-independent market beta (it remains insignificant). We find support for the role of a small-minus-big factor in pricing the cross-section of returns and find grounds to disagree with Jagannathan and Wang's argument that this factor proxies for misspecified market risk.
Original languageEnglish
Pages (from-to)139-162
JournalAccounting and Finance
Volume44
Issue number2
Publication statusPublished - 2004

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