We thank Bill Christie (the Editor) and two other anonymous referees for their extremely helpful comments and suggestions. We also benefited from discussions with Hadiye Aslan, Ozgur Demirtas, Armen Hovakimian, Robert Whitelaw, and seminar participants at Baruch College, Graduate School, and University Center of the University of New York, and the 2007 Financial Management Association meetings. We also thank Kenneth French for making a large amount of historical data publicly available in his online data library.
The Conditional Beta and the Cross-Section of Expected Returns
Article first published online: 28 APR 2009
© 2009 Financial Management Association International.
Volume 38, Issue 1, pages 103–137, Spring 2009
How to Cite
Bali, T. G., Cakici, N. and Tang, Y. (2009), The Conditional Beta and the Cross-Section of Expected Returns. Financial Management, 38: 103–137. doi: 10.1111/j.1755-053X.2009.01030.x
- Issue published online: 28 APR 2009
- Article first published online: 28 APR 2009
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