Name: Conditional Betas and Investor Uncertainty
Creator: Fernando D. Chague
Keywords: Conditional CAPM, Conditional Betas, Uncertainty

Conditional Betas and Investor Uncertainty

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Fernando D. Chague;

(2013)

Subject: Conditional CAPM, Conditional Betas, Uncertainty
- jel: jel:E32 | jel:G12 | jel:D80
mesheuropmc: health care economics and organizations

We derive theoretical expressions for market betas from a rational expectation equilibrium model where the representative investor does not observe if the economy is in a recession or an expansion. Market betas in this economy are time-varying and related to investor un... View more

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Research Papers in Economics via Research Papers in Economics (Preprint, 2013)
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