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  • Search: subject:"modelling conditional betas"
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Year of publication
Subject
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CAPM 1 conditional market volatility 1 modelling conditional betas 1
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Free 1
Type of publication
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Book / Working Paper 1
Language
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English 1
Author
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Faff, Robert 1 Galagedera, Don U.A. 1
Institution
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Department of Econometrics and Business Statistics, Monash Business School 1
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Monash Econometrics and Business Statistics Working Papers 1
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RePEc 1
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Modelling the Risk and Return Relation Conditional on Market Volatility and Market Conditions
Galagedera, Don U.A.; Faff, Robert - Department of Econometrics and Business Statistics, … - 2004
This paper investigates whether the risk-return relation varies, depending on changing market volatility and up/down market conditions. Three market regimes based on the level of conditional volatility of market returns are specified - 'low', 'neutral' and 'high'. The market model is extended to...
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