Messis, Petros; Zapranis, Achilleas - In: Applied Economics 46 (2014) 36, pp. 4508-4518
This study uses a novel approach for capturing time variation in betas whose pattern is treated as a function of market returns. A two-factor model (TFM) is constructed using estimated coefficients of a nonlinear regression. The model is tested against the CAPM and the Fama and French...