Jump to ContentJump to Main Navigation
Show Summary Details
More options …

Studies in Nonlinear Dynamics & Econometrics

Ed. by Mizrach, Bruce

5 Issues per year

IMPACT FACTOR 2016: 0.649

CiteScore 2016: 0.63

SCImago Journal Rank (SJR) 2016: 0.546
Source Normalized Impact per Paper (SNIP) 2016: 0.793

Mathematical Citation Quotient (MCQ) 2016: 0.03

See all formats and pricing
More options …
Volume 6, Issue 4 (Mar 2003)


Time-Varying Betas Help in Asset Pricing: The Threshold CAPM

Levent Akdeniz / Aslihan Altay-Salih / Mehmet Caner
Published Online: 2003-03-11 | DOI: https://doi.org/10.2202/1558-3708.1101

Although there is a consensus about time variation in market betas, it is not clear how this variation should be captured. Several researchers continue to analyze different versions of the conditional CAPM. However, Ghysels (1998) shows that these conditional CAPM models fail to capture the dynamics of beta risk. In this study, we introduce a new model, threshold CAPM, which outperforms both the conditional and unconditional CAPMs by generating smaller pricing errors. We also show that the beta risk changes through time with the changes in the economic environment and the dynamics of time variation of beta differ across industries. These findings have important implications for asset allocation, portfolio selection, and hedging decisions.

This article offers supplementary material which is provided at the end of the article.

About the article

Published Online: 2003-03-11

Citation Information: Studies in Nonlinear Dynamics & Econometrics, ISSN (Online) 1558-3708, DOI: https://doi.org/10.2202/1558-3708.1101.

Export Citation

©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston. Copyright Clearance Center

Supplementary Article Materials

Citing Articles

Here you can find all Crossref-listed publications in which this article is cited. If you would like to receive automatic email messages as soon as this article is cited in other publications, simply activate the “Citation Alert” on the top of this page.

Laurent Callot, Mehmet Caner, Anders Bredahl Kock, and Juan Andres Riquelme
Journal of Business & Economic Statistics, 2017, Volume 35, Number 2, Page 250
Zongwu Cai, Yu Ren, and Bingduo Yang
Journal of Banking & Finance, 2015, Volume 61, Page 117
Geonwoo Kim, Hyuncheul Lim, and Sungchul Lee
Review of Derivatives Research, 2015, Volume 18, Number 1, Page 29
Geonwoo Kim, Hyungsu Kim, and Sungchul Lee
Journal of the Korean Statistical Society, 2013, Volume 42, Number 4, Page 507
Ho-Chuan (River) Huang * and Pei-Shan Wu
Applied Financial Economics Letters, 2005, Volume 1, Number 5, Page 321
Patrick L. Brockett, William W. Cooper, K.H. Kwon, and T.W. Ruefli
Omega, 2003, Volume 31, Number 5, Page 417

Comments (0)

Please log in or register to comment.
Log in