๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Tests of the CAPM with structural instability and asymmetry

โœ Scribed by (River) Huang *, Ho-Chuan; Wu, Pei-Shan


Book ID
127238439
Publisher
Taylor and Francis Group
Year
2005
Tongue
English
Weight
126 KB
Volume
1
Category
Article
ISSN
1744-6546

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


Tests of CAPM with nonstationary beta
โœ Ho-Chuan (river) Huang ๐Ÿ“‚ Article ๐Ÿ“… 2001 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 351 KB

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