Soufian, Mona and Horsburgh, Stuart (2010) What drives the Premium Labour Model, beta instability or human capital? Premium Model outperforms Premium Labour model? In: 17th Annual Conference of the Multinational Finance Society, 27-30 June 2010, Barcelona, Spain.
Full text not available from this repository. (Request a copy)Abstract
We examine the Conditional Capital Asset Pricing Model of Jagannathan and Wang (1996) using UK data and develop a data driven measure of beta instability risk that is pertinent to the UK stock market. This measure is priced over all time periods covered in this study. In contrast to the view that the main part of the Jagannathan and Wang's model is the inclusion of human capital, however, we find that human capital remains insignificant in most tests. Our results revive the importance of beta instability risk in conditional CAPM of Jagannathan and Wang's model and suggest that the beta instability drives this model.
| Item Type: | Conference or Workshop Item (Paper) |
|---|---|
| Subjects: | N300 Finance N900 Others in Business and Administrative studies |
| Department: | Faculties > Business and Law > Newcastle Business School |
| Depositing User: | Helen Pattison |
| Date Deposited: | 03 Oct 2012 15:20 |
| Last Modified: | 19 Nov 2019 09:05 |
| URI: | http://nrl.northumbria.ac.uk/id/eprint/9371 |
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