Search Results - subject:"time‐varying beta"

Multivariate time-varying parameter modelling for stock markets

Neslihanoglu, Serdar; Bekiros, Stelios; McColl, John H.; … - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 947-972

Persistent link: https://www.econbiz.de/10012616913

Time-varying beta, market volatility and stress : a comparison between the United States and India

Chakrabarti, Gagari - In: IIMB management review 33 (2021) 1, pp. 50-63

Persistent link: https://www.econbiz.de/10013205186

Goodness-of-fit versus significance: A CAPM selection with dynamic betas applied to the Brazilian stock market

de Pinho Ronzani, André Ricardo; Candido, Osvaldo; … - In: International Journal of Financial Studies 5 (2017) 4, pp. 1-21

In this work, a Capital Asset Pricing Model (CAPM) with time-varying betas is considered. These betas evolve over time, conditional on financial and non-financial variables. Indeed, the model proposed by Adrian and Franzoni (2009) is adapted to assess the behavior of some selected Brazilian...

Persistent link: https://www.econbiz.de/10011996066

Goodness-of-fit versus significance : a CAPM selection with dynamic betas applied to the Brazilian stock market

de Pinho Ronzani, André Ricardo; Candido, Osvaldo; … - In: International Journal of Financial Studies : open … 5 (2017) 4, pp. 1-21

Persistent link: https://www.econbiz.de/10011760331

Back to the future betas: Empirical asset pricing of US and Southeast Asian markets

French, Jordan - In: International Journal of Financial Studies 4 (2016) 3, pp. 1-13

beta formula. The covariance of the portfolio and market returns are assumed to remain constant in the time-varying beta …

Persistent link: https://www.econbiz.de/10011709010

Back to the future betas : empirical asset pricing of US and Southeast Asian markets

French, Jordan - In: International Journal of Financial Studies : open … 4 (2016) 3, pp. 1-13

beta formula. The covariance of the portfolio and market returns are assumed to remain constant in the time-varying beta …

Persistent link: https://www.econbiz.de/10011526799

Fundamental beta and portfolio performance : evidence from an emerging market

Hafsal K.; Durai S., Raja Sethu - In: Macroeconomics and finance in emerging market economies 13 (2020) 3, pp. 264-275

Persistent link: https://www.econbiz.de/10012286476

Estimation of conditional asset pricing models with integrated variables in the beta specification

Antypas, Antonios; Caporale, Guglielmo Maria; … - In: Research in international business and finance 52 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012548351

Beta and firm age

Chincarini, Ludwig Boris; Daehwan, Kim; Moneta, Fabio - In: Journal of empirical finance 58 (2020), pp. 50-74

Persistent link: https://www.econbiz.de/10012430459

Beta dispersion and market timing

Kuntz, Laura-Chloé - In: Journal of empirical finance 59 (2020), pp. 235-256

Persistent link: https://www.econbiz.de/10012437978