Cayirl, Omer; Kayalidere, Koray; Aktas, Huseyin - In: Borsa Istanbul Review 22 (2022) 6, pp. 1062-1068
always matter. We also show that adding more factors to a single-factor CAPM requires market risk premiums to be modeled as … time varying. In addition to allowing time-varying market risk premiums, our methodology can be extended to allow for time …