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- W4243637633 abstract "This paper examines an asset pricing model in which the Sharpe-Lintner CAPM and the zero-beta CAPM are special cases. The model allows the ratio of expected market risk premium to market variance, the conditional expected excess returns, and the risks to change over time. The results are found to be sensitive to the choice of the portfolio formation techniques. Significant time variability is shown in the conditional expected excess asset returns and risks and also in the reward-to-risk ratio." @default.
- W4243637633 created "2022-05-12" @default.
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- W4243637633 date "1991-09-01" @default.
- W4243637633 modified "2023-10-02" @default.
- W4243637633 title "Tests of the CAPM with Time-Varying Covariances: A Multivariate GARCH Approach" @default.
- W4243637633 doi "https://doi.org/10.2307/2328869" @default.
- W4243637633 hasPublicationYear "1991" @default.
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