2023) and out-of-sample (Schmidt 2022). The leading term in NBSPM besides the market (CAPM) beta is the industry beta … estimated using returns of the relevant equity sector ETFs or industry ETFs. In this work, the industry beta is added to FF5M …-of-sample. This implies that the industry beta has the major impact on stock prices while the FF5M factors may yield an over …

smart beta approach to evaluate the performance of ESG-based and non-ESG-based (traditional) equity portfolios. Our key …. While a high-ESG-rated portfolio generally outperforms the market index, the ESG and traditional smart beta alphas differ …

Australia, China, Hong Kong, Malaysia, and Singapore. Specifically, we combine positive screening and the smart beta approach to … generally outperforms the market index, the ESG and traditional smart beta alphas differ little. Our results also reveal that …

In this paper, we develop a robust non-parametric realized integrated beta estimator using high-frequency financial … data contaminated by microstructure noises, which is robust to the stylized features, such as the time-varying beta and the … dependence structure of microstructure noises. With this robust realized integrated beta estimator, we investigate dynamic …

This paper considers an extension to Ang et al.’s (2006) non-linear downside beta framework. The extreme downside risk … used in double-sorted portfolios, where I control for downside beta and various other asset pricing factors and firm … premium ranges from 2.4% to 10.4% in double sorted portfolios based on downside beta …

the financial crisis of 2007--2008. In this paper, we investigate the reason why. Using the Campbell-Shiller beta …