Citation based Review of Related Literature on Asset Pricing Models and Time-Varying Beta

Divya Verma,Deeksha Arora

This qualitative study is an extensive literature review of the empirical work done in the area of asset pricing and time varying beta. The paper undertakes a citation based analysis of authors, titles and journals to recognize the evolving trends in this domain. The methodology is based on the systematic and structured review of 100 papers ranging from 1898 to 2019.The citation count of the title/ author was obtained from the Google Scholar search engine and that of Scopus indexed journals has been taken from the SCImago Journal Rank (SJR) database for the past seven years (2011-2017) according to the data availability. The study reveals that Sharpe (22464) and Fama and French (18918) are the highly cited authors in the area of asset pricing models whereas Bollerslev et al. (3725) and Lettau and Ludvigson (1454) are the top cited authors in the area of time-varying beta. Journal of Financial Economics (15288) and Journal of Banking & Finance (15067) are the highly cited journals.USA and India are the top countries to have researched on the asset pricing models and time-variation in beta. The study can be helpful to the future researchers to understand the trend as well as gap in this area.

Volume 11 | 05-Special Issue

Pages: 1640-1650