Bali, Turan G.; Engle, Robert F.; Tang, Yi - 2013 - This draft: October 8, 2012
expected stock returns. The results indicate that the time-varying conditional beta is alive and well in the cross-section of … daily stock returns. Portfolio-level analyses and firm-level cross-sectional regressions indicate a positive and significant … relation between dynamic conditional beta and future returns on individual stocks. An investment strategy that goes long stocks …