Showing 1 - 10 of 43
Persistent link: https://www.econbiz.de/10010188791
Persistent link: https://www.econbiz.de/10003951916
Persistent link: https://www.econbiz.de/10013556272
Persistent link: https://www.econbiz.de/10000901250
Persistent link: https://www.econbiz.de/10000952886
Persistent link: https://www.econbiz.de/10000961965
Persistent link: https://www.econbiz.de/10000856022
Persistent link: https://www.econbiz.de/10000977928
Persistent link: https://www.econbiz.de/10000994750
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