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Renfro, Brandon - In: The empirical economics letters : a monthly … 19 (2020) 1, pp. 55-64

Persistent link: https://www.econbiz.de/10012589115

CAPM verification using overnight and daytime returns

Kang, Dae Jin; Kim, Soo-hyun - In: Journal of derivatives and quantitative studies : … 28 (2020) 4, pp. 209-227

The capital asset pricing model has failed to explain the effect of systematic risk (referred to as beta) on actual … study analysis empirically confirms a positive relationship between overnight returns and beta and a negative relation … between daytime returns and beta. Furthermore, this paper aims to determine that empirical results are mostly the same with …

Persistent link: https://www.econbiz.de/10012592728

The ABC's of the ARP : understanding alternative risk premium

Gorman, Stephen A.; Fabozzi, Frank J. - In: The journal of asset management : a major new, … 22 (2021) 6, pp. 391-404

Persistent link: https://www.econbiz.de/10012659812

A study on risk return relationship of it and pharmaceutical stocks listed in nseusing capital asset pricing model

Rekha, S.; Vasanth, V.; Sivakami, P. - In: International journal of applied business and economic … 17 (2019) 2, pp. 23-28

Persistent link: https://www.econbiz.de/10012495657

Time-varying conditional beta, return spillovers, and dynamic bank diversification strategies

Wang, Lu - In: The quarterly review of economics and finance : journal … 79 (2021), pp. 272-280

Persistent link: https://www.econbiz.de/10012655045

The memory of beta

Becker, Janis; Hollstein, Fabian; Prokopczuk, Marcel; … - In: Journal of banking & finance 124 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012816442

Cross-sectional relationship between beta and realized returns in emerging markets

Khataybeh, Mohammad A.; Abdulaziz, Mohamad; Marashdeh, Zyad - In: Applied economics quarterly 65 (2019) 2, pp. 115-137

Persistent link: https://www.econbiz.de/10012293241

Assessing systematic risk using time series regression : an evidence from Indian capital market

Prakash R. P.; Yaragol, Prakash Basanna - In: The journal of Institute of Public Enterprise 41 (2018) 3/4, pp. 46-62

Persistent link: https://www.econbiz.de/10012023499

Modified beta and cross-sectional stock returns

Dennis, Steven A.; Simlai, Prodosh; Smith, William Steven - In: Research in finance 33 (2018), pp. 75-104

Persistent link: https://www.econbiz.de/10012227938

Drawdown beta and portfolio optimization

Ding, Rui; Uryasev, Stan - In: Quantitative finance 22 (2022) 7, pp. 1265-1276

Persistent link: https://www.econbiz.de/10013367906