The Pricing of Time-Varying Beta
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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Volume (Year): 22 (1997)
Issue (Month): 3 ()
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