The Pricing of Time-Varing Beta

Gloria Gonzalez-Rivera

The A. Gary Anderson Graduate School of Management from The A. Gary Anderson Graduate School of Management. University of California Riverside

Abstract: We examine asset pricing models with time-varying betas. In the framework of the conditional Arbitrage Pricing Theory (APT), we show that if the betas are time-varying, the conditional probability distribution of returns depends on the conditional probability distribution od betas. We prove that time-varying betas increase the conditional variance or returns.

Keywords: RISK; ECONOMIC MODELS; PRICING; ECONOMIC THEORY (search for similar items in EconPapers)
JEL-codes: D43 (search for similar items in EconPapers)
Pages: 21 pages
Date: 1996
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Journal Article: The Pricing of Time-Varying Beta (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:caland:96-1

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