The Pricing of Time-Varing 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 InfoPaper provided by The A. Gary Anderson Graduate School of Management. University of California Riverside in its series The A. Gary Anderson Graduate School of Management with number 96-1.
Length: 21 pages
Date of creation: 1996
Date of revision:
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Postal: The A. Gary Anderson Graduate School of Management. University of California, Riverside. Riverside CA 92521
Web page: http://www.agsm.ucr.edu/
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RISK; ECONOMIC MODELS; PRICING; ECONOMIC THEORY;
Other versions of this item:
- D43 - Microeconomics - - Market Structure and Pricing - - - Oligopoly and Other Forms of Market Imperfection
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