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The Pricing of Time-Varing Beta

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Author Info
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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Publisher 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

Contact details of provider:
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;

Find related papers by JEL classification:
D43 - Microeconomics - - Market Structure and Pricing - - - Oligopoly and Other Forms of Market Imperfection

Statistics
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This page was last updated on 2009-12-22.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.