risk on stocks. The analysis technique used is multiple linear regression. The results showed that the financial … performance did not significantly affect the systematic risk of the company's stock …

The capital asset pricing model has failed to explain the effect of systematic risk (referred to as beta) on actual …

beta risk in emerging stock markets. The results imply that investors interested in hedging inflation in emerging markets … should go beyond individual asset classes and embrace the portfolio optimization concept to reduce inflation risk. Given the …

The CAPM is commonly used for an introduction of the equity cost in practice to calculate the corporate value, which is … composed by the risk-free rate, equity market return and each respective beta. However, there is a fundamental complication … between the risk, cost and return for the equity valuation. In the fixed income investment, the excess risk is basically …

portfolio weights. In order to fulfil this gap we answer three questions: which is the minimum risk premium that justifies … definition of crossed beta and the net risk premium ratio that stems from it. The latter fulfils the axioms of risk …/reward performance measures. The three answers to the questions are related to the net risk premium. The analysis in developed for the …

studies on the stability of companies' systematic risk, but the literature and research lack an analysis of the stability of … companies' systematic risk. It cannot be ruled out (hypothesis) that the beta coeffi cient for companies listed in the WIG …

I show that increased turnover accompanies changes in stocks' risk exposures. A one standard deviation decrease in a …

Inspired by Aumann and Serrano (2008) and Foster and Hart (2009), we propose risk-neutral options' implied measures of … riskiness and investigate their significance in predicting the cross section of expected returns per unit of risk. The empirical … stock returns. Stocks in the lowest riskiness portfolio have economically and statistically higher risk-adjusted returns …

A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity … portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book … correlated with economic uncertainty proxied by the variance risk premium (VRP) carry a significant, annualized 8 percent premium …