Tsuji, Chikashi - In: The open economics journal 1 (2008), pp. 58-63
This paper examines the pricing of month-by-month time-varying risks on the Japanese stock market over the period from 1981 to 2004. Using the multivariate GARCH model, we tested the conditional version of the Sharpe-Lintner-Mossin CAPM. In contrast to previous studies, we derive and focus...
