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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
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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
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Time-varying betas of sectoral returns to market returns and exchange rate movements
Karlsson, Hyunjoo Kim; Hacker, Scott - In: Applied financial economics 23 (2013) 13/15, pp. 1155-1168
Persistent link: https://www.econbiz.de/10010204788
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On tests of the conditional relationship between beta and returns
Cooper, Ian - In: Applied financial economics 19 (2009) 4/6, pp. 427-432
Persistent link: https://www.econbiz.de/10003828722
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The price effects of FTSE 100 index revision : what drives the long-term abnormal return reversal?
Mazouz, Khelifa; Saadouni, Brahim - In: Applied financial economics 17 (2007) 4/6, pp. 501-510
Persistent link: https://www.econbiz.de/10003446111
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Beta, size and returns : a study on the French Stock Exchange
Lilti, Jean-Jacques - In: Applied financial economics 8 (1998) 1, pp. 13-20
Persistent link: https://www.econbiz.de/10001240717
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Corporate social responsibility and stock market performance
Becchetti, Leonardo; Ciciretti, Rocco - In: Applied financial economics 19 (2009) 16/18, pp. 1283-1293
We analyse the performance of a large sample of Socially Responsible (SR) stocks relative to a Control Sample (CS) of equivalent size for 14 years. We find that individual SR stocks have on average significantly lower returns and unconditional variance than CS stocks when controlling for...
Persistent link: https://www.econbiz.de/10003886162
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Can firms do well while doing good?
Ahmed, Parvez; Nanda, Sudhir; Schnusenberg, Oliver - In: Applied financial economics 20 (2010) 10/12, pp. 845-860
Persistent link: https://www.econbiz.de/10009009814
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Pragmatic problems in using beta for managerial finance applications
Aktas, Elvan; McDaniel, William R. - In: Applied financial economics 19 (2009) 16/18, pp. 1345-1354
. Our purpose is to explore a broad sample to demonstrate the frequency of cases where Capital Asset Pricing Model (CAPM … modifications to CAPM or other asset pricing models. …
Persistent link: https://www.econbiz.de/10003886173
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Does downside beta matter in asset pricing?
Pedersen, Christian S.; Hwang, Soosung - In: Applied financial economics 17 (2007) 10/12, pp. 961-978
Persistent link: https://www.econbiz.de/10003538091