Cayirl, Omer; Kayalidere, Koray; Aktas, Huseyin - In: Borsa Istanbul Review 22 (2022) 6, pp. 1062-1068
We mathematically show that, no matter how many factors are added to the capital asset pricing model (CAPM), beta will always matter. We also show that adding more factors to a single-factor CAPM requires market risk premiums to be modeled as time varying. In addition to allowing time-varying...