Learning about beta: Time-varying factor loadings, expected returns, and the conditional CAPM-Reference-Cited by-同舟云学术

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Learning about beta: Time-varying factor loadings, expected returns, and the conditional CAPM

Published:2009-09 Issue:4 Volume:16 Page:537-556
ISSN:0927-5398
Container-title:Journal of Empirical Finance
language:en
Short-container-title:Journal of Empirical Finance

Author:

Adrian Tobias,Franzoni Francesco

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference40 articles.

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

2. Style investing;Barberis;Journal of Financial Economics,2003

3. A capital asset pricing model with time varying covariances;Bollerslev;Journal of Political Economy,1988

4. Understanding risk and return;Campbell;Journal of Political Economy,1996

5. Bad beta, good beta;Campbell;American Economic Review,2004

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