1. Adrian, T., Franzoni, F., 2005. Learning about Beta: Time-varying Factor Loadings, Expected Returns, and the Conditional CAPM. Working Paper, Federal Reserve Bank of New York.
2. Realized beta: Persistence and predictability;Andersen;Advances in Econometrics,2006
3. Stock return predictability: is it there?;Ang;Review of Financial Studies,2007
4. Asymmetric correlations of equity portfolios;Ang;Journal of Financial Economics,2002
5. CAPM over the long run: 1926–2001;Ang;Journal of Empirical Finance,2007