Time-Varying Beta and the Value Premium
研究了条件市场贝塔和阿尔法如何随经济状态变量变化，发现价值溢价的贝塔与失业率、通胀和市盈率呈逆周期关系，且阿尔法在经济严重衰退时大幅下降甚至为负。
We model conditional market beta and alpha as flexible functions of state variables identified via a formal variable-selection procedure. In the post-1963 sample, the beta of the value premium comoves strongly with unemployment, inflation, and the price–earnings ratio in a countercyclical manner. We also uncover a novel nonlinear dependence of alpha on business conditions: It falls sharply and even becomes negative during severe economic downturns but is positive and flat otherwise. The conditional capital asset pricing model (CAPM) performs better than the unconditional CAPM, but this does not fully explain the value premium. Our findings are consistent with a conditional CAPM with rare disasters.