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dc.contributor.authorAkdeniz, L.en_US
dc.contributor.authorAltay-Salih, A.en_US
dc.contributor.authorCaner, M.en_US
dc.date.accessioned2016-02-08T10:28:34Z
dc.date.available2016-02-08T10:28:34Z
dc.date.issued2003en_US
dc.identifier.issn1081-1826
dc.identifier.urihttp://hdl.handle.net/11693/24387
dc.description.abstractAlthough 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 outper-forms 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.en_US
dc.language.isoEnglishen_US
dc.source.titleStudies in Nonlinear Dynamics and Econometricsen_US
dc.relation.isversionofhttps://doi.org/10.2202/1558-3708.1101en_US
dc.titleTime-varying betas help in asset pricing: the threshold CAPMen_US
dc.typeArticleen_US
dc.citation.spage1en_US
dc.citation.epage24en_US
dc.citation.volumeNumber6en_US
dc.citation.issueNumber4en_US
dc.identifier.doi10.2202/1558-3708.1101en_US
dc.publisherWalter de Gruyter GmbHen_US
dc.identifier.eissn1558-3708


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