Shanghai Stock Exchange. It finds that market beta risk is priced in the time-series movements of stock prices and responds …

The paper tests the CAPM for the Brazilian stock market using dynamic betas. The sample involves 28 stocks included in …. Dynamic betas were estimated and conditional betas contributed with larger explanatory power of excess cross section returns …

The study adds an empirical outlook on the predicting power of using data from the future to predict future returns …. The crux of the traditional Capital Asset Pricing Model (CAPM) methodology is using historical data in the calculation of … beta formula. The covariance of the portfolio and market returns are assumed to remain constant in the time-varying beta …

the capital asset pricing model (CAPM). Enhanced accuracy of expected asset-return, in turn, may lead to more accurate …

expected returns - for most non-market factors in US and international stock markets. "Arbitrage portfolios'' designed to … profit from these effects earn average returns similar to those of the factors, with substantially reduced risk. Betas are … persistent, indicating that the factor models successfully capture important dimensions of co-variation in returns. Previously …

The objective of this research is to find out the conditional relationship between beta and stock returns for the … stock returns and attempts to investigate the conditional relationship between beta and stock returns in Sri Lanka. This …

power than the CAPM to account for time series variation of stock returns. Our findings show that firm size and book … CAPM beta is not alone sufficient to explain the average expected stock returns in Bangladesh … three factors have significant determining impact on stock returns. Moreover, the three factor model has higher explanatory …

We investigate the asymmetric risk–return relationship in a time-varying beta CAPM. A state space model is established … 1987:11–2003:12, we find a positive risk–return relationship in the up market (positive market excess returns) and a … negative relationship in the down market (negative market excess returns). This supports the argument of Pettengill et al., who …