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Beta Risk in the Cross-Section of Equities

Boloor, Ali - 2019

We develop a continuous-time intertemporal CAPM model that allows for risky beta exposure, which we explicitly specify …

Persistent link: https://www.econbiz.de/10012899147

Application of Chow, Cusum and rolling window in testing stability of systematic risk of companies listed in WIG-ESG in 2019-2022

Mikołajek-Gocejna, Magdalena - In: Journal of banking and financial economics 20 (2023), pp. 1-29

The aim of the article is to analyze the stability of beta coeffi cients of companies listed in WIG-ESG. There are many studies on the stability of companies' systematic risk, but the literature and research lack an analysis of the stability of the beta coeffi cient for ESG companies. We...

Persistent link: https://www.econbiz.de/10014515083

Does beta explain global equity market volatility : some empirical evidence

Kurach, Radoslaw - In: Contemporary economics 7 (2013) 2, pp. 55-66

this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity …

Persistent link: https://www.econbiz.de/10009770247

Hierarchical time varying estimation of a multi factor asset pricing model

Baillie, Richard; Calonaci, Fabio; Kapetanios, George - 2019

This paper presents a new hierarchical methodology for estimating multi factor dynamic asset pricing models. The approach is loosely based on the sequential approach of Fama and MacBeth (1973). However, the hierarchical method uses very flexible bandwidth selection methods in kernel weighted...

Persistent link: https://www.econbiz.de/10011960113

An Analysis on the Predictability of CAPM Beta for Momentum Returns

Cenesizoglu, Tolga - 2016

This paper demonstrates that the forecasted CAPM beta of momentum portfolios explains a large portion of the return …

Persistent link: https://www.econbiz.de/10013005838

Beta Bubbles

Jylha, Petri - 2017

temporary increase in its CAPM beta estimate and a decrease in its CAPM alpha. The increasing effect of breadth of ownership on …-driven components of beta estimates that we find contribute to the empirical failure of the CAPM and the large returns to long …

Persistent link: https://www.econbiz.de/10012971144

Betas and Liquidity : Differences in Systematic Price Risk Due to Asymmetric Asset Liquidity and Correlated Funding Shocks

Umlauft, Roland - 2013

This research presents evidence for the existence of differences in asset beta risk in the liquidity cross-section of assets due to correlated trading. It is argued that due to differences in liquidity or cost, most trading activity is concentrated on the subset of liquid assets. In the presence...

Persistent link: https://www.econbiz.de/10013090386

Climate Sensitivity and Mutual Fund Performance

Ho, Thang - 2021 - This version: October 2021

In the presence of rising concern about climate change that potentially affects risk and return of investors’ portfolio companies, active investors might have dispersed climate risk exposures. We compute mutual fund covariance with market-wide climate change news index and find that high...

Persistent link: https://www.econbiz.de/10013229876

Capital asset pricing model testing at Warsaw Stock Exchange : are family businesses the remedy for economic recessions?

Lipiec, Jacek - In: International Journal of Financial Studies : open … 2 (2014) 3, pp. 266-279

In this article, we test the capital asset pricing model (CAPM) on the Warsaw Stock Exchange (WSE) by measuring the …

Persistent link: https://www.econbiz.de/10010470522

An analysis of the relation between return and beta for portfolios of Turkish equities

Terregrossa, Salvatore J.; Eraslan, Veysel - In: Cogent economics & finance 4 (2016) 1, pp. 1-8

of realized market-portfolio excessreturn, with the estimation of the security market plane (SMP) model. The study has … the capital asset pricing model (CAPM). Enhanced accuracy of expected asset-return, in turn, may lead to more accurate …

Persistent link: https://www.econbiz.de/10011450716