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Idiosyncratic volatility and stock returns : a cross country analysis

Pukthuanthong, Kuntara; Visaltanachoti, Nuttawat - In: Applied financial economics 19 (2009) 16/18, pp. 1269-1281

Capital Asset Pricing Model (CAPM), which implies that idiosyncratic risk should not be priced because it would be fully …

Persistent link: https://www.econbiz.de/10003886161

Realized betas and the cross-section of expected returns

Morana, Claudio - In: Applied financial economics 19 (2009) 16/18, pp. 1371-1381

Asset Pricing Model (CAPM) is found, where implementation is carried out in the realized beta framework proposed in this …

Persistent link: https://www.econbiz.de/10003886197

Estimates of the ICAPM with regime-switching betas : evidence from four pacific rim economies

Chen, Shyh-wei; Huang, Nai-chuan - In: Applied financial economics 17 (2007) 4/6, pp. 313-327

Persistent link: https://www.econbiz.de/10003446018

Do consumption-based asset pricing models explain return predictability?

Marquering, Wessel A. - In: Applied financial economics 16 (2006) 14, pp. 1019-1027

Persistent link: https://www.econbiz.de/10003377861

Interest rate risk factor and stock returns : a time-varying factor-loadings model

Huang, Peng; Hueng, C. James - In: Applied financial economics 19 (2009) 22/24, pp. 1813-1824

We extend the Fama-French three-factor model to include a risk factor that proxies for interest-rate risk faced by firms in an attempt to reduce the pricing errors that the three-factor model cannot explain. These pricing errors are observed especially in small size and low book-to-market ratio...

Persistent link: https://www.econbiz.de/10003921080

Time-variation in the value premium and the CAPM : evidence from European markets

Spyrou, Spyros I.; Kassimatis, Konstantinos - In: Applied financial economics 19 (2009) 22/24, pp. 1899-1914

reject the zero-intercept hypothesis, i.e. portfolio returns appear consistent with the Capital Asset Pricing Model (CAPM). …

Persistent link: https://www.econbiz.de/10003921102

Explaining mispricing with Fama-French factors : new evidence from the multiscaling approach

In, Francis Haeuck; Kim, Sangbae; Faff, Robert W. - In: Applied financial economics 20 (2010) 4/6, pp. 323-330

This article examines the Capital Asset Pricing Model (CAPM) over different frequencies utilizing a recently developed … frequencies than at the higher frequencies in the traditional CAPM. In addition, the overreaction-related mispricing hypothesis …

Persistent link: https://www.econbiz.de/10003963131

Investor perceptions and volatility within a risk-return framework

Berger, Dave - In: Applied financial economics 20 (2010) 13/15, pp. 1003-1010

Persistent link: https://www.econbiz.de/10009010335

Testing the CAPM across observed and fundamental returns

Berger, Dave - In: Applied financial economics 21 (2011) 7/9, pp. 625-636

Persistent link: https://www.econbiz.de/10009153240

Momentum in stock market returns : implications for risk premia on foreign currencies

Nitschka, Thomas - In: Applied financial economics 23 (2013) 7/9, pp. 551-560

Persistent link: https://www.econbiz.de/10009750714

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