We decompose the momentum profits based on total stock returns into three components: a long-term average alpha component that reverses, a stock beta component that accounts for the dynamic market exposure (and momentum crash risk), and a residual return component that drives the momentum effect...

This paper demonstrates that the forecasted CAPM beta of momentum portfolios explains a large portion of the return, ranging from 40% to 60% for stock level momentum, and 30% to 50% for industry level momentum. Beta forecasts are from a realized beta estimator using daily returns over the prior...

Generating one-month-ahead systematic (beta) risk forecasts is common place in financial management. This paper evaluates the accuracy of these beta forecasts in three return measurement settings; monthly, daily and 30 minutes. It is found that the popular Fama-MacBeth beta from 5 years of...

This paper demonstrates that the low volatility anomaly exists in Australian stock returns. Consistent with previous literature on other countries, low realized volatility stocks earn superior risk-adjusted returns than high realized volatility stocks. Our key findings show value-weighted...

Recent advances in the measurement of beta (systematic return risk) and volatility (total return risk), demonstrate substantial advantages in utilizing high frequency return data in a variety of settings. These advances in the measurement of beta and volatility have resulted in improvements in...

Recent advances in the measurement of beta (systematic return risk) and volatility (total return risk) demonstrate substantial advantages in utilizing high-frequency return data in a variety of settings. These advances in the measurement of beta and volatility have resulted in improvements in...