Chiarella, Carl; Dieci, Roberto; He, Xue-Zhong - Finance Discipline Group, Business School - 2010
- and macro-economic factors, the conditional CAPM with time-varying betas displays superiority in explaining the cross … and time-varying betas. By incorporating the three most popular types of investors, fundamentalists, chartists and noise … momentum traders. In particular, we demonstrate the stochastic nature of time-varying betas and show that the commonly used …