A best choice among asset pricing models? The Conditional Capital Asset Pricing Model in Australia

Nick Durack; Robert B. Durand; Ross A. Maller

doi:10.1111/j.1467-629X.2004.00107.x

A best choice among asset pricing models? The Conditional Capital Asset Pricing Model in Australia

Nick Durack^*, Robert B. Durand, Ross A. Maller

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

46 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 language	English
Pages (from-to)	139-162
Number of pages	24
Journal	Accounting and Finance
Volume	44
Issue number	2
DOIs	https://doi.org/10.1111/j.1467-629X.2004.00107.x
Publication status	Published - Jul 2004

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title = "A best choice among asset pricing models? The Conditional Capital Asset Pricing Model in Australia",

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.",

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AB - 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.

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A best choice among asset pricing models? The Conditional Capital Asset Pricing Model in Australia

Abstract

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