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The Pricing of Time-Varing Beta

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  • Gonzalez-Rivera, G.

Abstract

We 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 Info

Paper 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.

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Length: 21 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:fth:caland:96-1

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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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Related research

Keywords: RISK; ECONOMIC MODELS; PRICING; ECONOMIC THEORY;

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Cited by:
  1. Jamin, Gösta & Entorf, Horst, 2004. "German Exchange Rate Exposure at DAX and Aggregate Level, International Trade, and the Role of Exchange Rate Adjustment Costs," ZEW Discussion Papers 04-03, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  2. 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).
  3. 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.
  4. 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).
  5. Martin Scheicher, 2000. "Time-varying risk in the German stock market," The European Journal of Finance, Taylor & Francis Journals, vol. 6(1), pages 70-91.
  6. 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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