Recent advances in financial econometrics have allowed for the construction of efficient ex post measures of daily volatility. This paper investigates the importance of instability in models of realised volatility and their corresponding forecasts. Testing for model instability is conducted with...

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...

The recent advent of high-frequency data and advances in financial econometrics allow investors to evaluate the accuracy of different beta (systematic risk) measurements. Benchmarking against the monthly realized beta formed by 30-minute data, we compare the popular Fama-MacBeth betas, the...

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...