Time-Varying Betas Help in Asset Pricing: The Threshold CAPM
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| 024 | 7 | 0 | |a 10.2202/1558-3708.1101 |2 doi |
| 035 | |a (NATIONALLICENCE)gruyter-10.2202/1558-3708.1101 | ||
| 245 | 0 | 0 | |a Time-Varying Betas Help in Asset Pricing: The Threshold CAPM |h [Elektronische Daten] |c [Levent Akdeniz, Aslihan Altay-Salih, Mehmet Caner] |
| 520 | 3 | |a Although there is a consensus about time variation in market betas, it is not clear how this variation should be captured. Several researchers continue to analyze different versions of the conditional CAPM. However, Ghysels (1998) shows that these conditional CAPM models fail to capture the dynamics of beta risk. In this study, we introduce a new model, threshold CAPM, which outperforms both the conditional and unconditional CAPMs by generating smaller pricing errors. We also show that the beta risk changes through time with the changes in the economic environment and the dynamics of time variation of beta differ across industries. These findings have important implications for asset allocation, portfolio selection, and hedging decisions. | |
| 540 | |a ©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston | ||
| 700 | 1 | |a Akdeniz |D Levent |u Bilkent University, Graduate School of Business, akdeniz@bilkent.edu.tr |4 aut | |
| 700 | 1 | |a Altay-Salih |D Aslihan |u Bilkent University, Graduate School of Business, asalih@bilkent.edu.tr |4 aut | |
| 700 | 1 | |a Caner |D Mehmet |u University of Pittsburgh, Department of Economics, caner@pitt.edu |4 aut | |
| 773 | 0 | |t Studies in Nonlinear Dynamics & Econometrics |d De Gruyter |g 6/4(2003-03-11) |q 6:4 |1 2003 |2 6 |o snde | |
| 856 | 4 | 0 | |u https://doi.org/10.2202/1558-3708.1101 |q text/html |z Onlinezugriff via DOI |
| 908 | |D 1 |a research article |2 jats | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.2202/1558-3708.1101 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Akdeniz |D Levent |u Bilkent University, Graduate School of Business, akdeniz@bilkent.edu.tr |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Altay-Salih |D Aslihan |u Bilkent University, Graduate School of Business, asalih@bilkent.edu.tr |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Caner |D Mehmet |u University of Pittsburgh, Department of Economics, caner@pitt.edu |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Studies in Nonlinear Dynamics & Econometrics |d De Gruyter |g 6/4(2003-03-11) |q 6:4 |1 2003 |2 6 |o snde | ||
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