How Do Alphas and Betas Move? Uncertainty, Learning and Time Variation in Risk Loadings*
Author:
Publisher
Wiley
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/obes.12018/fullpdf
Reference43 articles.
1. ‘Learning about Beta: time-varying factor loadings, expected returns and the conditional CAPM’;Adrian;Journal of Empirical Finance,2009
2. ‘The impact of risk and uncertainty on expected returns’;Anderson;Journal of Financial Economics,2009
3. ‘Heteroskedasticity and autocorrelation consistent covariance matrix estimation’;Andrews;Econometrica,1991
4. ‘An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator’;Andrews;Econometrica,1992
5. ‘Stock return predictability: is it there?’;Ang;Review of Financial Studies,2007
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