Search Results for: Learning About Beta Time Varying Factor Loadings Expected Returns And The Conditional Capm

Learning about Beta: Time-varying Factor Loadings, Expected Returns, and the Conditional CAPM

Learning about Beta: Time-varying Factor Loadings, Expected Returns, and the Conditional CAPM
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Book Synopsis Learning about Beta: Time-varying Factor Loadings, Expected Returns, and the Conditional CAPM by : Tobias Adrian

Download or read book Learning about Beta: Time-varying Factor Loadings, Expected Returns, and the Conditional CAPM written by Tobias Adrian and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:


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Learning about Beta: Time-varying Factor Loadings, Expected Returns, and the Conditional CAPM
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Learning about Beta: Time-varying Factor Loadings, Expected Returns, and the Conditional CAPM

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Type: BOOK - Published: 2008 - Publisher:

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This paper explores the theoretical and empirical implications of time-varying and unobservable betas. Investors infer factor loadings from the history of retur
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"When risk-factor loadings are time-varying and unobservable, investors are forced to form beliefs about the levels of their loadings. The learning process invo
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Standard approaches to the estimation and testing of conditional CAPM models with time-varying or random beta have ignored the potential panel nature of financi