Tests of CAPM with nonstationary beta
โ
Ho-Chuan (river) Huang
๐
Article
๐
2001
๐
John Wiley and Sons
๐
English
โ 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