Over the last four decades, several estimation issues of the beta have been discussed extensively in many articles. An … Pricing Model. Our goal in this paper is two-fold. After studying the impact of the return interval on the beta estimates, we … the returns based on closing prices with the intraperiod volatility for the representation by the means of a fuzzy random …

up the annual beta’s change attributed to the volatility market effect, the stock volatility effect, the correlation …In this paper we estimated IBM beta from 2000 to 2013, then using differential equation mathematical formula we split …

reversed and the gap in beta widens. What makes growth strategies nowadays bear more market risk than value strategies? What … are the causes of the reversal in the ranking of betas? The paper argues that the negative link between beta and BM is due …

A test of the CAPM is developed conditional on a prior belief about the correlation between the true market return and … the inefficiency of the proxy. An extension of the proposed test to a CAPM with conditioning information links … mismeasurement of the market return to time-variation in beta. …

In accordance with the empirical regularity of time-varying betas we estimate and test for the Sharpe-Lintner CAPM by … break using multivariate time series. Finally, we find the CAPM can be consistent with the data in some regimes but may …

Se han analizado 6 grupos de variables en un intento de explicar el retorno futuro de las acciones utilizando el CAPM … permite sostener la tesis central del CAPM. Ninguna de las betas de 6 grupos de variables es capaz de discriminar … un adecuado ordenamiento mientras que en las regresiones de corte transversal, la beta no resulta estadísticamente …

the Greek stock market. Our results suggest that a two–beta intertemporal capital asset pricing model explains half of …

Asset Pricing Model (CAPM) under different data frequencies, time frames and indices. It is found that there is no …

to research and development (R&D) expenditure, we find that higher beta is associated with higher return volatility … significant decreases in beta. Dynamically estimated high-frequency betas appear to perform well in capturing variation in firm …