exposure to systematic mispricing can bias tests of risk-return tradeoffs. Controlling for systematic mispricing, we recover …Systematic mispricing primarily affects speculative stocks and predominantly results in overpricing, predicting lower … robust positive risk-return relations for many cross-sectional risk proxies, including low-risk and distress anomalies. We …

definition of crossed beta and the net risk premium ratio that stems from it. The latter fulfils the axioms of risk … portfolio weights. In order to fulfil this gap we answer three questions: which is the minimum risk premium that justifies …/reward performance measures. The three answers to the questions are related to the net risk premium. The analysis in developed for the …

composed by the risk-free rate, equity market return and each respective beta. However, there is a fundamental complication …The CAPM is commonly used for an introduction of the equity cost in practice to calculate the corporate value, which is … between the risk, cost and return for the equity valuation. In the fixed income investment, the excess risk is basically …

We consider the estimation methods for the rank of a beta matrix corresponding to a multifactor model and study which … estimator to analyze some selected asset pricing models with U.S. stock returns. Our results indicate that the beta matrix from … many models fails to have full column rank, suggesting that risk premiums in these models are under-identified …