Soufian, Mona; McMillan, David; Horsburgh, Stuart - In: Managerial Finance 39 (2013), pp. 1188-1200
Purpose – The paper examines the conditional capital asset pricing model (CCAPM) of Jagannathan and Wang using the UK data and develops a data-driven measure of beta instability risk that is pertinent to the UK stock market. In contrast to the view that the main part of the Jagannathan and...