This paper explores the ability of conditional versions of the CAPM and the consumption CAPM—jointly the (C)CAPM—to explain the cross section of average stock returns. Central to our approach is the ...

This paper proposes a consistent test for the goodness-of-fit of parametric regression models that overcomes two important problems of the existing tests, namely, the poor empirical power and size ...

I use monthly stock return data for all stocks listed on a major US exchange from January 1990 to December 2016 and utilize a Fama-MacBeth Regression with Newey-West standard errors to test the ...