A cross-sectional empirical test of a dual-state multi-factor pricing model.

During empirical testing of the Capital Asset Pricing Model an assumption is typically made that risk is intertemporally constant. However, prior research finds that risk changes over time. We empirically test a conditional dual-state cross-sectional model allowing risk to change through prior ident...

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Bibliographic Details
Main Authors: Howton, Shelly W., Peterson, David R.
Format: Villanova Faculty Authorship
Language:English
Published: 1999
Online Access:http://ezproxy.villanova.edu/login?url=https://digital.library.villanova.edu/Item/vudl:177108