Due to a lack of supporting evidence, market beta in the widely-acclaimed Capital Asset Pricing Model (CAPM) is considered dead nowadays. In this paper we propose a novel approach for estimating market beta using the traditional market model. Upon deriving a covariance adjustment term, we...

This paper provides cross-sectional tests of the Capital Asset Pricing Model (CAPM). To mitigate problems with noise in realized stock return series, we use a smoothed data series of average daily returns per month. Tests using U.S. stock returns for equal-weighted portfolios indicate that beta...

In this study, we document, for a number of emerging markets, that positive returns can be obtained using a short-term reversal strategy. Further, as expected, these returns are higher for small and illiquid firms, and the highest for more volatile firms. Overall, the reversal strategy-based...