000028565 001__ 28565
000028565 005__ 20131209145629.0
000028565 0248_ $$aoai:doc.rero.ch:20120222113942-HU$$pinfonet_economy$$ppostprint$$punisi$$prero_explore$$pcdu33$$zthesis_urn$$zreport$$zthesis$$zbook$$zjournal$$zcdu16$$zpreprint$$zcdu1$$zdissertation$$zcdu34
000028565 041__ $$aeng
000028565 080__ $$a33
000028565 100__ $$aAdrian,Tobias$$uFederal Reserve Bank of New York, New York, United States
000028565 245__ $$9eng$$aLearning about beta$$bTime-varying factor loadings, expected returns, and the conditional CAPM
000028565 269__ $$c2009
000028565 520__ $$9eng$$aWe amend the conditional CAPM to allow for unobservable long-run  changes in risk factor loadings. In this environment, investors rationally  “learn” the long-run level of factor loadings from the observation of realized  returns. As a consequence of this assumption, we model conditional betas  using the Kalman filter. Because of its focus on low-frequency variation in  betas, our approach circumvents recent criticisms of the conditional  CAPM. When tested on portfolios sorted by size and book-to-market, our  learning-augmented conditional CAPM passes the specification tests.
000028565 695__ $$9eng$$aBeta ; CAPM ; kalman filter ; anomalies ; value premium
000028565 700__ $$aFranzoni, Francesco$$uIstituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
000028565 773__ $$dElsevier$$g2009/16/4/537-556$$tJournal of empirical finance
000028565 775__ $$gVersione pubblicata$$ohttp://dx.doi.org/10.1016/j.jempfin.2009.02.003
000028565 8564_ $$fFranzoni_JFE_2009_2.pdf$$qapplication/pdf$$s345176$$uhttp://doc.rero.ch/record/28565/files/Franzoni_JFE_2009_2.pdf$$yorder:1$$zTexte intégral
000028565 918__ $$aFacoltà di scienze economiche$$bVia Giuseppe Buffi 13, CH-6904 Lugano
000028565 919__ $$aUniversità della Svizzera italiana$$bLugano$$ddoc.support@rero.ch
000028565 980__ $$aPOSTPRINT$$bUNISI$$fART_JOURNAL
000028565 990__ $$a20120222113942-HU