The state-dependent time variation in the value premium

Yazid M. Sharaiha; Kristoffer Kittilsen Johansson

Year of publication:	2014
Authors:	Sharaiha, Yazid M. ; Johansson, Kristoffer Kittilsen
Published in:	The journal of asset management. - Basingstoke : Palgrave Macmillan, ISSN 1470-8272, ZDB-ID 2209717-X. - Vol. 15.2014, 2, p. 150-161
Subject:	value premium \| time-varying betas \| smooth transition regresson \| regime switching \| dynamic factor allocation \| CAPM \| Risikoprämie \| Risk premium \| Schätzung \| Estimation \| Kapitaleinkommen \| Capital income \| Betafaktor \| Beta risk \| Volatilität \| Volatility

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