... Research & Statistics and Monetary A airsFederal Reserve Board, Washington, D.C.Interest Rate Risk and Bank Equity ValuationsWilliam B. English, Skander J. Van den Heuvel, and EgonZakrajsek2012-26NOTE: ... have attributed the failure o f the standard CAPM to its sta tic nature; see, forexample, Hansen and Richard [1 987 ], Jagannathan and Wang [1996], and Gomes et al. [2003]. More recently,Avramov ... recently,Avramov and Chordia [2006] show that allowing betas to vary with firm characteristics and macroeconomic vari-ables, the conditional C A P M can explain the size, value, and momentum pricin g anomalies.25We...