The Conditional CAPM and the Cross-Section of Expected Returns
假设CAPM在条件意义上成立，即贝塔和市场风险溢价随时间变化，并在衡量总财富回报时纳入人力资本回报，该模型能较好地解释股票平均收益率的横截面差异。
Most empirical studies of the static CAPM assume that betas remain constant over time and that the return on the value-weighted portfolio of all stocks is a proxy for the return on aggregate wealth. The general consensus is that the static CAPM is unable to explain satisfactorily the cross-section of average returns on stocks. We assume that the CAPM holds in a conditional sense, i.e., betas and the market risk premium vary over time. We include the return on human capital when measuring the return on aggregate wealth. Our specification performs well in explaining the cross-section of average returns.