Learning about beta: time-varying factor loadings, expected returns, and the conditional CAPM
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- Adrian, Tobias & Franzoni, Francesco, 2009. "Learning about beta: Time-varying factor loadings, expected returns, and the conditional CAPM," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 537-556, September.
- Franzoni, Francesco & Adrian, Tobias, 2005. "Learning about Beta: time-varying factor loadings, expected returns and the conditional CAPM," HEC Research Papers Series 828, HEC Paris.
- Francesco Franzoni & Tobias Adrian, 2005. "Learning about Beta: Time-varying factor loadings, expected returns, and the Conditional CAPM," Working Papers hal-00587579, HAL.
- Francesco FRANZONI & Tobias ADRIAN, 2008. "Learning about Beta: Time-Varying Factor Loadings, Expected Returns,and the Conditional CAPM," Swiss Finance Institute Research Paper Series 08-36, Swiss Finance Institute.
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Keywords
Investments; capital asset pricing model;JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
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