We examine asset pricing models with time-varying betas. In the framework of the conditional Arbitrage Pricing Theory (APT), we show that if the betas are time-varying, the conditional probability distribution of returns depends on the conditional probability distribution od betas. We prove that...

In practical applications, it is not uncommon for the hazard functions obtained for two groups to converge with time. We develop a procedure for testing the proportional odds assumption when the available data consists of two independent random samples of randomly right censored lifetimes.