Chang, Eric C.; Pinegar, J. Michael - In: Journal of Financial and Quantitative Analysis 25 (1990) 04, pp. 517-533
Despite nonstationarities in the factor betas and factor prices of the Chen, Roll, Ross (1986) multifactor model, investors are rewarded for bearing risks associated with the change in expected inflation and industrial production in non-January months; however, variations in these factors have...