Showing 1 - 10 of 23
Persistent link: https://www.econbiz.de/10013459130
Persistent link: https://www.econbiz.de/10013162433
This paper demonstrates that the forecasted CAPM beta of momentum portfolios explains a large portion of the return, ranging from 40% to 60% for stock level momentum, and 30% to 50% for industry level momentum. Beta forecasts are from a realized beta estimator using daily returns over the prior...
Persistent link: https://www.econbiz.de/10013005838
This paper demonstrates that a conditional version of the Capital Asset Pricing Model (CAPM) explains the cross section of expected returns, just as well as the three factor model of Fama and French. This is achieved by measuring beta (systematic risk) with short-, medium- and long-run...
Persistent link: https://www.econbiz.de/10012905563
Persistent link: https://www.econbiz.de/10012117743
Persistent link: https://www.econbiz.de/10010347906
Persistent link: https://www.econbiz.de/10003941602
Persistent link: https://www.econbiz.de/10014477120
The empirical evidence on the cross-sectional relation between idiosyncratic risk and expected stock returns is mixed. We demonstrate that the omission of the previous month's stock returns can lead to a negatively biased estimate of the relation. The magnitude of the omitted variable bias...
Persistent link: https://www.econbiz.de/10013148646
Persistent link: https://www.econbiz.de/10009715938