We study the extent to which time-variation in market betas influence estimates of CAPM alphas. Given the observed variation in conditional market betas, market risk premia, and market variance, the required compensation for conditional market risk can, in theory, be as large as the unconditional equity premium. We implement the conditional CAPM using state-of-the-art methods in a broad global sample. We find that accounting for conditional risk helps explain the return on all the major anomalies we consider and that conditional risk explains two percentage points of alpha for value, investment, and momentum strategies in recent years.

中文翻译：

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 条件性风险


我们研究了市场 beta 中的时间变化在多大程度上影响 CAPM alpha 的估计。鉴于观察到的条件市场贝塔系数、市场风险溢价和市场方差的变化，理论上，条件市场风险所需的补偿可以与无条件股票溢价一样大。我们在广泛的全球样本中使用最先进的方法实施条件 CAPM。我们发现，考虑条件风险有助于解释我们考虑的所有主要异常的回报，而条件风险解释了近年来价值、投资和动量策略的两个百分点的阿尔法。