Showing 1 - 10 of 64
We develop a conditional capital asset pricing model in continuous-time that allows for stochastic beta exposure. When beta co-moves with market variance and the stochastic discount factor (SDF), beta risk is priced, and the expected return on a stock deviates from the security market line. The...
Persistent link: https://www.econbiz.de/10011646407
Persistent link: https://www.econbiz.de/10003350610
Persistent link: https://www.econbiz.de/10003445632
Persistent link: https://www.econbiz.de/10009553634
Persistent link: https://www.econbiz.de/10010516049
Persistent link: https://www.econbiz.de/10009696029
Persistent link: https://www.econbiz.de/10009715175
Persistent link: https://www.econbiz.de/10010226790
Persistent link: https://www.econbiz.de/10011516992
Persistent link: https://www.econbiz.de/10009389307