Huang, Peng; Hueng, C. James - In: Quantitative Finance 8 (2008) 4, pp. 381-390
We investigate the asymmetric risk-return relationship in a time-varying beta CAPM. A state space model is established and estimated by the Adaptive Least Squares with Kalman foundations proposed by McCulloch. Using S&P 500 daily data from 1987:11-2003:12, we find a positive risk-return...