The Pricing of Time-Varying Beta
AbstractWe examine asset pricing models with time-varying betas. In the framework of the conditional Arbitrage Pricing Theory (APT), we show that if the betas are time-varying, the conditional probability distribution of returns depends on the conditional probability distribution od betas. We prove that time-varying betas increase the conditional variance or returns.
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Bibliographic InfoArticle provided by Springer in its journal Empirical Economics.
Volume (Year): 22 (1997)
Issue (Month): 3 ()
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Other versions of this item:
- Gonzalez-Rivera, G., 1996. "The Pricing of Time-Varing Beta," The A. Gary Anderson Graduate School of Management 96-1, The A. Gary Anderson Graduate School of Management. University of California Riverside.
- D43 - Microeconomics - - Market Structure and Pricing - - - Oligopoly and Other Forms of Market Imperfection
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- Esteban González, María Victoria & Orbe Mandaluniz, Susan, 2006. "Nonparametric estimation betas in the Market Model," BILTOKI 2006-03, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
- Horst Entorf & Gösta Jamin, 2007.
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- Entorf & Jamin, 2005. "German Exchange Rate Exposure at DAX and Aggregate Level, International Trade, and the Role of Exchange Rate Adjustment Costs," International Finance 0508005, EconWPA.
- Entorf, Horst & Jamin, Gösta, 2003. "German Exchange Rate Exposure at DAX and Aggregate Level, International Trade, and the Role of Exchange Rate Adjustment Costs," Darmstadt Discussion Papers in Economics 20147, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute of Economics (VWL).
- Tusell Palmer, Fernando Jorge & Esteban González, María Victoria, 2009. "Predicting Betas: Two new methods," BILTOKI 2009-01, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
- Coleman, Jane A. & Shaik, Saleem, 2009. "Time-Varying Estimation of Crop Insurance Program in Altering North Dakota Farm Economic Structure," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49516, Agricultural and Applied Economics Association.
- Buckland, Roger & Fraser, Patricia, 2002. "The scale and patterns of abnormal returns to equity investment in UK electricity distribution," Global Finance Journal, Elsevier, vol. 13(1), pages 39-62.
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- Martin Scheicher, 2000. "Time-varying risk in the German stock market," European Journal of Finance, Taylor and Francis Journals, vol. 6(1), pages 70-91.
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