Learning about Beta: Time-Varying Factor Loadings, Expected Returns, and the Conditional CAPM

By Tobias Adrian, Francesco A. Franzoni. 2009

193 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/c137514e35125313cb1e3af6568a689eb67e246a

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In Finance

1. R. Guo
2. Zhi Da
3. Ravi Jagannathan

Citations in the corpus

• CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence (2009, background): “In addition, recent studies by Kumar, Srescu, Boehme and Danielsen (2008) and Adrian and Franzoni (2008) demonstrate that once the estimation risk or parameter uncertainty associated with beta and risk premium are accounted for, the conditional CAPM will have significantly more explanatory power in…”