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The robustness of the conditional CAPM with human capital

Palacios-Huerta, Ignacio (2003) The robustness of the conditional CAPM with human capital. Journal of Financial Econometrics, 1 (2). pp. 272-289. ISSN 1479-8409

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Identification Number: 10.1093/jjfinec/nbg012


An empirical evaluation is provided of the robustness of the conditional capital asset pricing model (CAPM) with human capital to explain the cross-sectional variability of security returns. This model has been evaluated in the literature using the growth rate in per capita labor income. This article looks at richer measures of human capital returns. It develops measures that incorporate the costs and benefits of educational investment, skill premiums, worker experience, and other relevant features of human capital markets. It also considers variables that help to forecast future human capital returns. We find that some of these richer measures help improve substantially the performance of the model.

Item Type: Article
Official URL:
Additional Information: © 2003 Oxford University Press
Divisions: Management
Subjects: H Social Sciences > HB Economic Theory
Date Deposited: 11 Jan 2010 09:52
Last Modified: 15 Sep 2023 12:56

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