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The Conditional CAPM Does Not Explain Asset-pricing Anomalies. (2003). Nagel, Stefan ; Lewellen, Jonathan .
In: Working papers.
RePEc:mit:sloanp:3544.

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Cited: 25

Citations received by this document

Cites: 30

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Cocites: 50

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  1. Inflation and Individual Equities. (2012). Signori, Ombretta ; Brière, Marie ; Ang, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17798.

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  2. Time-Varying Beta Estimators in the Mexican Emerging Market. (2011). Zarraga, Ainhoa ; Orbe, Susan ; Alonso, Ainhoa Zarraga ; Mandaluniz, Susan Orbe ; Domenech, Belen Nieto .
    In: BILTOKI.
    RePEc:ehu:biltok:5283.

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  3. Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns. (2010). Burnside, Craig.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:16634.

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  4. Betting Against Beta. (2010). Pedersen, Lasse ; Frazzini, Andrea.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:16601.

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  5. CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence. (2009). Jagannathan, Ravi ; Guo, Re-Jin ; Da, Zhi.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14889.

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  6. Common Risk Factors in Currency Markets. (2008). Verdelhan, Adrien ; Roussanov, Nikolai ; Lustig, Hanno.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14082.

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  7. ¿Utilizan los gestores españoles de fondos de inversión información privada en sus labores de gestión?. (2008). Agudo, Luis Ferruz ; LPEZ, NIEVAS J. ; MAGALLN, MARA VARGAS .
    In: Estudios de Economía Aplicada.
    RePEc:lrk:eeaart:26_3_5.

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  8. Realized Betas and the Cross-Section of Expected Returns. (2008). MORANA, CLAUDIO.
    In: ICER Working Papers - Applied Mathematics Series.
    RePEc:icr:wpmath:15-2008.

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  9. Learning about beta: time-varying factor loadings, expected returns, and the conditional CAPM. (2008). Adrian, Tobias ; Franzoni, Francesco.
    In: Staff Reports.
    RePEc:fip:fednsr:193.

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  10. Does aggregate relative risk aversion change countercyclically over time? evidence from the stock market. (2006). Yang, Jian ; Guo, Hui ; Wang, Zijun.
    In: Working Papers.
    RePEc:fip:fedlwp:2006-047.

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  11. Is value premium a proxy for time-varying investment opportunities: some time series evidence. (2006). Yang, Jian ; Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-026.

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  12. Investor Overreaction, Cross-Sectional Dispersion of Firm Valuations, and Expected Stock Returns. (2006). Jiang, Danling.
    In: Working Paper Series.
    RePEc:ecl:ohidic:2006-8.

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  13. A Framework for Exploring the Macroeconomic Determinants of Systematic Risk. (2005). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Wu, Jin.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:05-009.

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  14. CAPM Over the Long Run: 1926-2001. (2005). Ang, Andrew ; Chen, Joseph.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11903.

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  15. Downside Risk. (2005). Xing, Yuhang ; Ang, Andrew ; Chen, Joseph.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11824.

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  16. Cash-Flow Risk, Discount Risk, and the Value Premium. (2005). Veronesi, Pietro ; Santos, Tano.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11816.

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  17. The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street. (2005). Van Nieuwerburgh, Stijn ; Lustig, Hanno.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11564.

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  18. Financial Markets and the Real Economy. (2005). Cochrane, John.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11193.

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  19. Modelos de valoración de activos condicionales: Un panorama comparativo. (2005). Nieto, Belen ; Rodriguez, Rosa.
    In: Investigaciones Economicas.
    RePEc:iec:inveco:v:29:y:2005:i:1:p:33-71.

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  20. Short sales, institutional investors and the cross-section of stock returns. (2005). Nagel, Stefan.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:78:y:2005:i:2:p:277-309.

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  21. Is value riskier than growth?. (2005). Zhang, Lu ; Petkova, Ralitsa .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:78:y:2005:i:1:p:187-202.

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  22. Learning about Beta: time-varying factor loadings, expected returns and the conditional CAPM. (2005). Adrian, Tobias ; Franzoni, Francesco.
    In: HEC Research Papers Series.
    RePEc:ebg:heccah:0828.

    Full description at Econpapers || Download paper

  23. THE CROSS-SECTION OF FOREIGN CURRENCY RISK PREMIA AND CONSUMPTION GROWTH RISK. (2005). Verdelhan, Adrien ; Lustig, Hanno.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2005-019.

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  24. Bad Beta, Good Beta. (2004). Campbell, John ; Vuolteenaho, Tuomo .
    In: Scholarly Articles.
    RePEc:hrv:faseco:3122489.

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  25. On the cross section of conditionally expected stock returns. (2003). Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2003-043.

    Full description at Econpapers || Download paper

References

References cited by this document

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