unconditional Capital Asset Pricing Model (CAPM) alpha, such that it appears to pay to "bet against beta." We show, however, that … conditional market risk for beta-sorted portfolios using instrumental variables methods and find that the conditional CAPM …Prior studies find that a strategy that buys high-beta stocks and sells low-beta stocks has a significantly negative …

across several estimation methods. Panel Granger causality test results indicate that there indeed is a Granger …

discontinuous and overnight returns entail significant risk premiums, while the intraday continuous beta does not. These higher risk …

We investigate the relation between downside beta and stock returns in a global context using more than 170 million … daily return observations. Contrary to the findings in the U.S. equity market, we show that downside beta does not explain … to using different methods to estimate downside beta, omitting the U.S. stocks from the global sample, utilizing …

This study reexamines the relation between downside beta and equity returns in the U.S. First, we replicate Ang, Chen … and Xing (2006) who find a positive relation between downside beta and future equity returns for equal-weighted portfolios … return determinants. We also extend the original sample, add AMEX/NASDAQ stocks or utilize alternative downside beta measures …

premium and a negative market beta in the long run. Factor themes with a clear positive beta, in particular low leverage and … size, have no alpha after controlling for this beta exposure. The remaining factors generate most of their raw return in … bear markets, which also explains half of their decay in the predominantly bullish post-2004 period. Beta-adjusting factor …