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Testing the Conditional CAPM using Cross-sectional Regressions: A Multi-task Learning Approach

https://doi.org/10.2139/ssrn.4788066
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Outgoing claims: the papers this work cites, builds on, or argues with.

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The conditional CAPM does not explain asset-pricing anomalies☆
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A skeptical appraisal of asset pricing tests☆
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Consequences and Detection of Misspecified Nonlinear Regression Models
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Empirical Asset Pricing via Machine Learning
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A Bound on Expected Stock Returns
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Dissecting Characteristics Nonparametrically
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Option-Implied Measures of Equity Risk
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Portfolio Optimization Using Forward-Looking Information
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An Asymptotic Theory for Estimating Beta‐Pricing Models Using Cross‐Sectional Regression
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Double/debiased machine learning for treatment and structural parameters
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Model Selection and Estimation in Regression with Grouped Variables
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The Errors in the Variables Problem in the Cross-Section of Expected Stock Returns
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Market Expectations in the Cross‐Section of Present Values
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(Almost) Model‐Free Recovery
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What Is the Expected Return on a Stock?
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Taming the Factor Zoo: A Test of New Factors
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Forest through the Trees: Building Cross‐Sections of Stock Returns
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Estimators of Relative Importance in Linear Regression Based on Variance Decomposition
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Bootstrapping and sample splitting for high-dimensional, assumption-lean inference
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The Capital Asset Pricing Model: Theory and Evidence
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The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas
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Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks
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Explaining the Failure of the Unconditional CAPM with the Conditional CAPM
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Deep Learning in Asset Pricing
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Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks
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Measuring Equity Risk with Option-Implied Correlations
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Market Expectations in the Cross Section of Present Values
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Dissecting Characteristics Nonparametrically
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A New Formula for the Expected Excess Return of the Market
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Double/Debiased Machine Learning for Treatment and Structural Parameters
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Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
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