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The conditional CAPM and the cross-section of expected returns
Jagannathan, Ravi; Wang, Zhenyu - 1996
Persistent link: https://www.econbiz.de/10000588919
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In search of risk premium : impirical evidence based on generalized consumption; beta model
Yamakawa, Tetsufumi - 1989
Persistent link: https://www.econbiz.de/10000137860
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Research design issues in the estimation of beta
Brailsford, Timothy J.; Faff, Robert W.; Oliver, Barry R. - 1997
Persistent link: https://www.econbiz.de/10000963237
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Jumps and betas : a new framework for disentangling and estimating systematic risks
Todorov, Viktor; Bollerslev, Tim - In: Journal of econometrics 157 (2010) 2, pp. 220-235
Persistent link: https://www.econbiz.de/10008663039
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Conditional beta Capital Asset Pricing Model (CAPM) and duration dependence tests
Allen, David E.; Imbarine Bujang - 2009
Persistent link: https://www.econbiz.de/10008667286
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Asset pricing and default risk
Breig, Christoph - 2011
Persistent link: https://www.econbiz.de/10008779050
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Multivariate test of Sharpe-Lintner CAPM with time-varying beta
Wu, P.-S.; Chiou, Jer-shiou - In: Applied financial economics letters 3 (2007) 4/6, pp. 335-341
Persistent link: https://www.econbiz.de/10003605109
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Risk and return : Consumption beta versus market beta
Mankiw, N. Gregory; Shapiro, Matthew D. - In: The review of economics and statistics 68 (1986) 3, pp. 452-459
Persistent link: https://www.econbiz.de/10003624721
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Essays on financial economics and econometrics
Wu, Jin - 2005
Persistent link: https://www.econbiz.de/10003384696
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An empirical investigation of the book-to-market and size effects
Petkova, Ralitsa - 2003
Persistent link: https://www.econbiz.de/10003385465