The Pricing of Time-Varing 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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|Date of creation:||1996|
|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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