Showing 1 - 10 of 16
Persistent link: https://www.econbiz.de/10003632655
Persistent link: https://www.econbiz.de/10003355729
Persistent link: https://www.econbiz.de/10003420329
Persistent link: https://www.econbiz.de/10009553161
Persistent link: https://www.econbiz.de/10010233265
Persistent link: https://www.econbiz.de/10010196887
Persistent link: https://www.econbiz.de/10002140986
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/10012196256
Persistent link: https://www.econbiz.de/10012197830