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Can We Resurrect the CAPM in Japan? Evaluating Conditional Asset Pricing Models by Incorporating Time-varying Price of Risk

  • Tsuji C
Research in Applied Economics (2009) 1(1)
DOI: 10.5296/rae.v1i1.259
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Abstract

… Keywords: Conditional CAPM, Conditional consumption CAPM, Jensen's alpha, Multivariate GARCH model, Panel data analysis, Time-varying price of risk, Time-varying alpha Page 2. Research in Applied Economics ISSN 1948-5433 2009, Vol. 1, No. 1: E10 …

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Tsuji, C. (2009). Can We Resurrect the CAPM in Japan? Evaluating Conditional Asset Pricing Models by Incorporating Time-varying Price of Risk. Research in Applied Economics, 1(1). https://doi.org/10.5296/rae.v1i1.259

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