Recent advances in the measurement of beta (systematic return risk) and volatility (total return risk) demonstrate substantial advantages in utilizing high-frequency return data in a variety of settings. These advances in the measurement of beta and volatility have resulted in improvements in...

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...

Systematic (CAPM beta) risk forecasting for long horizons, such as one year, play an important role in financial management. This paper evaluates a variety of beta forecasting procedures for long forecast horizons. The widely utilized Fama-MacBeth approach based on five years of monthly returns...

We demonstrate the estimation biases that arise when stock returns from 12 month prior and 2 month prior are included within intermediate and recent past momentum profits. These biases lead to an overestimation of intermediate past momentum but an underestimation of recent past momentum in the...

Recent advances in the measurement of beta (systematic return risk) and volatility (total return risk), demonstrate substantial advantages in utilizing high frequency return data in a variety of settings. These advances in the measurement of beta and volatility have resulted in improvements in...