Conditional beta capital asset pricing model (CAPM) and duration dependence tests

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School of Accounting, Finance and Economic Edith Cowan University, WA, Australia [1 ]
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World IMACS Congr. MODSIM - Int. Congr. Model. Simul.: Interfacing Model. Simul. Math. Comput. Sci., Proc. | / 1107-1112期
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Abnormal returns - Asset pricing model - Capital asset pricing model - Duration dependence - Hazard models - Log-logistic - Null hypothesis - Two-factor models;
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