Premium
A best choice among asset pricing models? The Conditional Capital Asset Pricing Model in Australia
Author(s) -
Durack Nick,
Durand Robert B.,
Maller Ross A.
Publication year - 2004
Publication title -
accounting and finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.645
H-Index - 49
eISSN - 1467-629X
pISSN - 0810-5391
DOI - 10.1111/j.1467-629x.2004.00107.x
Subject(s) - capital asset pricing model , consumption based capital asset pricing model , economics , arbitrage pricing theory , econometrics , security market line , investment theory , asset (computer security) , financial economics , stochastic discount factor , computer science , paleontology , computer security , horse , stock market , biology
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.