Beta has been a controversial measure of risk ever since it was proposed almost half a century ago, and we do not … measure of risk? And, 2) is beta a valuable tool for portfolio selection? Our evidence, spanning over 47 countries, 57 …

that lead to these assets becoming stranded. Our result suggest that climate change implies a positive and increasing risk … risk. Transition risks lower substantially the participation of carbon intensive assets in the market portfolio, which …

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

The capital asset pricing model has failed to explain the effect of systematic risk (referred to as beta) on actual …

risk premium as high as 9.72% on an annual basis, even after controlling for global systematic risk factors. While most … exposed to higher oil beta uncertainty. We show that the risk premium associated with oil beta uncertainty cannot be explained …, which in turn contributes to a risk premium associated with oil beta uncertainty. The findings present a new, behavioral …

Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and … beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 … discontinuous betas in portfolios of stocks as the number of holdings increase. We show that discontinuous risk dissipates faster …

One of the consequences of the Capital Asset Pricing Model (CAPM) is that the expected excess return of a financial … market. CAPM therefore implies that stocks with larger empirical estimates of beta will tend to produce larger returns. We …