The Conditional CAPM Based On High Frequency Data In Chinese Stock Market

We will focus on testing conditional CAPM based on high frequency data in China Stock Market.This study is divided into two part.In the first part,this article will use the conditional CAPM Beta based on the high-frequency data to predict future Beta based on Chinese stocks data.The empirical data results show that the Beta estimated by high-frequency data is more accurate than the Beta estimated by daily data in the future Beta prediction.This result will be valuable for financial risk management and portfolio construction.In the second part,we test whether the conditional CAPM can explain some asset pricing anomalies in Chinese stocks market,including size,value,momentum,reversal,illiquidity,abnormal turnover,volatility and max volatility.The conditional CAPM based on daily data and the conditional CAPM based on high frequency data have the same performance in explaining these anomalies(Size,Value,Momentum,Reversal,Illiquidity,Abnormal Turnover,Turnover,max volatility,volatility).Both cannot explain these anomalies.