Modelling the Risk and Return Relation Conditional on Market Volatility and Market Conditions
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- Don U. A. Galagedera & Robert Faff, 2005. "Modeling The Risk And Return Relation Conditional On Market Volatility And Market Conditions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(01), pages 75-95.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Don U.A. Galagedera, 2004. "A survey on risk-return analysis," Finance 0406010, EconWPA.
- Srikanta Kundu & Nityananda Sarkar, 2016. "Is the Effect of Risk on Stock Returns Different in Up and Down Markets? A Multi-Country Study," International Econometric Review (IER), Econometric Research Association, vol. 8(2), pages 53-71, September.
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More about this item
KeywordsCAPM; conditional market volatility; modelling conditional betas;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-05-02 (All new papers)
- NEP-FIN-2004-05-02 (Finance)
- NEP-FMK-2004-05-02 (Financial Markets)
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