What drives the Premium Labour Model, beta instability or human capital? Premium Model outperforms Premium Labour model?

Mona Soufian, Stuart Horsburgh

    Research output: Contribution to conferencePaperpeer-review

    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.
    Original languageEnglish
    Publication statusPublished - Jun 2010
    Event17th Annual Conference of the Multinational Finance Society - Barcelona, Spain
    Duration: 1 Jun 2010 → …

    Conference

    Conference17th Annual Conference of the Multinational Finance Society
    Period1/06/10 → …

    Fingerprint Dive into the research topics of 'What drives the Premium Labour Model, beta instability or human capital? Premium Model outperforms Premium Labour model?'. Together they form a unique fingerprint.

    Cite this