aggregation. The extension of that literature to risk with intertemporally non-separable preferences now has become available in a …

portfolios, and even for bonds and currencies, suggesting that beta is after all an important measure of systematic risk …. Furthermore, a robust risk–return trade-off exists on announcement days. Expected variance is positively related to future …

This paper deals with the use of the CAPM for capital budgeting purposes. Four different measures are deductively drawn …

aggregation. The extension of that literature to risk with intertemporally non-separable preferences now has become available in a …

switching-regression framework. Threshold adjustment levels and capital asset pricing model risk parameters are estimated and … tested. Results indicate risk parameters differ for alternative regimes and are not constant over time. Accounting for … periods of temporary disequilibrium leads to notably more stable risk measurement estimates. …

Measuring risk in the stock market context is one of the key challenges of modern finance. Despite the substantial … significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price … assets or to determine the cost of capital. We empirically investigate the ability of several commonly proposed risk factors …

In this paper we apply a conditional 4-factor model to analyse the risk-return profile of Belgian socially responsible … difference between the risk-return trade-off of SRI and conventional funds in the Belgian market. If the risk-return profile is …

We extend the monetary-asset user-cost risk adjustment of Barnett, Liu, and Jensen (1997) and their risk … generate potentially larger and more accurate CCAPM user-cost risk adjustments than those found in Barnett, Liu, and Jensen … (1997). We show that the risk adjustment to a monetary asset¡¯s user cost can be measured easily by its beta. We show that …

Measuring risk in the stock market context is one of the key challenges of modern finance. Despite of the substantial … significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price … the assets or to determine the cost of capital. We empirically investigate the ability of several commonly proposed risk …

index, the estimated slope in the market model show strong switching behaviour. In these three securities the low risk state … is more persistent than the high-risk state. For each security we estimate the conditional probabilities that the … security is in the high (low) risk state given the market is in the high (low) volatility regime and show that this information …