unconditional Capital Asset Pricing Model (CAPM) alpha, such that it appears to pay to "bet against beta." We show, however, that … market volatility. As a result, the unconditional alpha is a downward biased estimate of the true alpha. We model the … conditional market risk for beta-sorted portfolios using instrumental variables methods and find that the conditional CAPM …

skew swaps be used to explore the relationship between the skew in implied volatility and realized skew. Like the variance … almost half of the implied volatility skew can be explained by the skew risk premium. We provide evidence that skew and …

shares of futures speculators have destabilized commodity spot prices. We approximate conditional volatility and regress it …-periods, and document whether the speculative impact on conditional volatility has increased. However, with respect to six heavily …

underlying stock (asset) is subject to discontinuous market regime type of shifts in its mean or volatility whose risk can be …

The CAPM is commonly used for an introduction of the equity cost in practice to calculate the corporate value, which is … hand, the volatility is one of the compositions of equity cost, which is indifferent to the equity return. Theoretically … actually the cost. This confusion has to dissipate with arbitrage at the market where the short selling is institutionalized or …

high trading volumes and persistent volatility characterized by significantly decaying autocorrelations of and positive … correlation between price volatility and trading volume …