Adrian, Tobias (contributor); … - 2004 - [Elektronische Ressource]
"When risk-factor loadings are time-varying and unobservable, investors are forced to form beliefs about the levels of … (CAPM) works for investors' probability distribution. However, mis-pricing can be observed if econometricians estimate betas …-augmented version of CAPM. This model performs better than other common empirical specifications, including the Fama-French three …