A conditional higher-moment CAPM

Author:

Vendrame Vasco,Guermat Cherif,Tucker Jon

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference48 articles.

1. Learning about beta: Time-varying factor loadings, expected returns, and the conditional CAPM;Adrian;Journal of Empirical Finance.,2009

2. CAPM over the long run: 1926-2001;Ang;Journal of Empirical Finance.,2007

3. Distribution moments and equilibrium: A comment;Arditti;Journal of Financial and Quantitative Analysis.,1972

4. A CAPM with higher moments: Theory and econometrics. Ensaios Economicos. 317, Rio de Janeiro;Athayde,1997

5. Asset pricing models and financial market anomalies;Avramov;Review of Financial Studies.,2005

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