Koundouri, Phoebe; Kourogenis, Nikolaos; Pittis, Nikitas; … - Department of International and European Economic … - 2014
This paper investigates the implications of time-varying betas in factor models for stock returns. It is shown that a single-factor model (SFMT) with autoregressive betas and homoscedastic errors (SFMT-AR) is capable of reproducing the most important stylized facts of stock returns. An empirical...