Time variation of CAPM betas across market volatility regimes
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- Nelson Areal & Maria Cortez & Florinda Silva, 2013. "The conditional performance of US mutual funds over different market regimes: do different types of ethical screens matter?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(4), pages 397-429, December.
- Amélie Charles & Olivier Darné & Zakaria Moussa, 2014. "The sensitivity of Fama-French factors to economic uncertainty," Working Papers hal-01015702, HAL.
- Salotti, Simone & Trecroci, Carmine, 2014.
"Multifactor risk loadings and abnormal returns under uncertainty and learning,"
The Quarterly Review of Economics and Finance,
Elsevier, vol. 54(3), pages 393-404.
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Keywordsconditional CAPM; Markov-switching model; book-to-market; momentum;
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