CAPM and Time-Varying Beta: The Cross-Section of Expected Returns-Reference-Cited by-同舟云学术

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CAPM and Time-Varying Beta: The Cross-Section of Expected Returns

Published:2007 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Basu Devraj,Stremme Alexander

Publisher

Elsevier BV

Reference26 articles.

1. Stock Return Predictability;A Ang;Review of Financial Studies,2006

2. CAPM over the long run: 1926–2001

3. Nonstationarity in Expected Returns: Implications for Tests of Market Efficiency and Serial Correlations in Returns;R Ball;Journal of Financial Economics,1989

4. Nonlinearities in the Relation between the Equity Risk Premium and the Term Structure;J Boudoukh;Management Science,1997

Cited by 6 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Conventional and downside CAPM: The case of London stock exchange;Global Finance Journal;2022-11

2. Investigation of Asset Pricing Model on Stock Market;Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022);2022

3. Time-varying beta, market volatility and stress: A comparison between the United States and India;IIMB Management Review;2021-03

4. Bibliography;Cost of Capital;2014-03-21

5. State uncertainty in stock markets: How big is the impact on the cost of equity?;Journal of Banking & Finance;2012-09

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