Chaojiang Wu

Drexel University

3141 Chestnut St

Philadelphia, PA 19104

United States

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Scholarly Papers (1)

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Time-Varying Beta and the Value Premium: A Single-Index Varying-Coefficient Model Approach

Number of pages: 48 Posted: 06 Mar 2015
Hui Guo, Chaojiang Wu and Yan Yu
University of Cincinnati - Department of Finance - Real Estate, Drexel University and University of Cincinnati - Department of Business Analytics
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Abstract:

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Conditional CAPM, Penalized Splines, Single-Index Models, Value Premium, Variable Selection