Dynamic conditional beta is alive and well in the cross section of daily stock returns
Turan G. Bali, Robert F. Engle, Yi Tang
| Year of publication: |
November 2017
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| Authors: | Bali, Turan G. ; Engle, Robert F. ; Tang, Yi |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 63.2017, 11, p. 3760-3779
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| Subject: | dynamic conditional beta | conditional capital asset pricing model | investor attention | buying intensity | and expected stock returns | CAPM | Kapitaleinkommen | Capital income | Risikoprämie | Risk premium | Schätzung | Estimation | Betafaktor | Beta risk | Portfolio-Management | Portfolio selection | Kapitalmarktrendite | Capital market returns |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2016.2536 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011772757