Chiarella, Carl; Dieci, Roberto; He, Xue-Zhong - Finance Discipline Group, Business School - 2010
- and macro-economic factors, the conditional CAPM with time-varying betas displays superiority in explaining the cross …-section of returns and anomalies in a number of empirical studies. Most of the literature on time-varying beta is motivated by … and time-varying betas. By incorporating the three most popular types of investors, fundamentalists, chartists and noise …