Conditional Betas and Investor Uncertainty

Preprint OPEN
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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