Time variation of CAPM betas across market volatility regimes
Year of publication: |
2011
|
---|---|
Authors: | Abdymomunov, Azamat ; Morley, James |
Published in: |
Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 21.2011, 19, p. 1463-1478
|
Publisher: |
Taylor & Francis Journals |
Subject: | conditional CAPM | Markov-switching model | book-to-market | momentum |
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