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- W2080593818 abstract "In this article we generalize Harvey's (1989) empirical specification of conditional asset pricing models to allow for both time-varying covariances between stock returns and marketwide factors and time-varying reward-to-covariabilities. The model is then applied to examine the effects of firm size and book-to-market equity ratios. We find that the traditional asset pricing model with commonly used factors can only explain a small portion of the stock returns predicted by firm size and book-to-market equity ratios. The results indicate that allowing time-varying covariances and time-varying reward-to-covariabilities does little to salvage the traditional asset pricing models." @default.
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- W2080593818 date "1996-12-01" @default.
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- W2080593818 title "Tests of the Relations Among Marketwide Factors, Firm-Specific Variables, and Stock Returns Using a Conditional Asset Pricing Model" @default.
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- W2080593818 doi "https://doi.org/10.1111/j.1540-6261.1996.tb05230.x" @default.
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