Thang Cong Nguyen; Tan Ngoc Vu; Duc Hong Vo; McAleer, … - In: Risks : open access journal 8 (2020) 2/36, pp. 1-14
The cornerstone of the capital asset pricing model (CAPM) lies with its beta. The question of whether or not beta is … ongoing. Many empirical studies have been conducted to test the validity of beta within the framework of CAPM. However, it is … conducted to examine if beta, proxied for a systematic risk, should be considered valid in the application of the CAPM at the …