This article was partly developed over a visiting period at the Department of Finance of the Carroll School of Management, Boston College. I thank Pierluigi Balduzzi and two anonymous referees for very useful suggestions. I am also grateful to participants to seminars at the University of Brescia, the Catholic University of Milan and to the ICMAIF 2010 and SIE 2010 conferences. All errors are mine.
How Do Alphas and Betas Move? Uncertainty, Learning and Time Variation in Risk Loadings*
Article first published online: 21 JAN 2013
© 2013 The Department of Economics, University of Oxford and John Wiley & Sons, Ltd.
Oxford Bulletin of Economics and Statistics
Volume 76, Issue 2, pages 257–278, April 2014
How to Cite
Trecroci, C. (2014), How Do Alphas and Betas Move? Uncertainty, Learning and Time Variation in Risk Loadings. Oxford Bulletin of Economics and Statistics, 76: 257–278. doi: 10.1111/obes.12018
- Issue published online: 7 MAR 2014
- Article first published online: 21 JAN 2013
- Final Manuscript Received: November 2012
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