uncertainty, we show that besides the market return and market volatility, three disappointment-related factors are also priced: a … downstate factor, a market downside factor, and a volatility downside factor. We find that expected returns on various asset …

The paper examines the effect of exchange rate risk on the conditional relationship between beta risk and return in … relationship between beta risk and return appears asymmetric and presents a lower beta risk premium than the one takes place under …

Previous research indicates that long-term investors are not compensated for beta or volatility risk. This study shows …. Theoretical beta portfolios defined to perform exactly as the Capital Asset Pricing Model (CAPM) would predict on a monthly basis …, show that high beta portfolios dramatically outperform in low volatility environments and underperform in high volatility …

this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity …’s perspective. We verify the beta-return trade-off employing two approaches: the unconditional trade-off and the conditional … relationship. In this latter case, we find the country beta to be a significant variable explaining the cross-country variation of …