New Evidence on Conditional Factor Models

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21 Citations (Scopus)


We estimate conditional multifactor models over a large cross section of stock returns matching 25 CAPM anomalies. Using conditioning information associated with different instruments improves the performance of the Hou, Xue, and Zhang (HXZ) (2015) and Fama and French (FF) (2015), (2016) models. The largest increase in performance holds for momentum, investment, and intangibles-based anomalies. Yet, there are significant differences in the performance of scaled models: HXZ clearly dominates FF in explaining momentum and profitability anomalies, while the converse holds for value-growth anomalies. Thus, the asset pricing implications of alternative investment and profitability factors (in a conditional setting) differ in a nontrivial way.

Original languageEnglish
Peer-reviewed scientific journalJournal of Financial and Quantitative Analysis
Issue number5
Pages (from-to)1975-2016
Number of pages42
Publication statusPublished - 2019
MoE publication typeA1 Journal article - refereed


  • 512 Business and Management
  • asset pricing models
  • conditional factor models
  • conditional CAPM
  • equity risk
  • investment and profitability risk factors
  • stock market anomalies
  • cross-section of stock
  • time-varying betas


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