Conditional betas, higher comoments and the cross-section of expected stock returns
This thesis examines the performance of different models of conditional betas and higher comoments in the context of the cross-section of expected stock returns, both in-sample and out-of-sample. I first examine the performance of different conditional market beta models by using monthly returns of...
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University of Exeter
2010
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.535920 |