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Robust monitoring of CAPM portfolio betas

✍ Scribed by Chochola, Ondřej; Hušková, Marie; Prášková, Zuzana; Steinebach, Josef G.

Book ID
122737462
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
375 KB
Volume
115
Category
Article
ISSN
0047-259X

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## Abstract Conventional tests of capital asset pricing model usually assume that β, a measure of the systematic risk, is stable over time. Nonetheless, empirical investigations generally find that β tends to be volatile over time. This paper formulates novel empirical models for testing the capita