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  • Search: subject:"CAPM anomalies"
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Asset Pricing 1 Bayesian Learning 1 CAPM Anomalies 1 Value Premium 1
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ADRIAN, Tobias 1 FRANZONI, Francesco 1
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Swiss Finance Institute Research Paper Series 1
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Learning about Beta: Time-Varying Factor Loadings, Expected Returns,and the Conditional CAPM
FRANZONI, Francesco; ADRIAN, Tobias
We complement the conditional CAPM by introducing unobservable long-run changes in risk factor loadings. In this environment, investors rationally `learn' the long-level of factor loadings from the observation of realized returns. As a direct consequence of this assumption, conditional betas are...
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