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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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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
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The security market plane
Bollen, Bernard - In: Applied financial economics 20 (2010) 13/15, pp. 1231-1240
Persistent link: https://www.econbiz.de/10009010289
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Time variation of CAPM betas across market volatility regimes
Abdymomunov, Azamat; Morley, James C. - In: Applied financial economics 21 (2011) 19/21, pp. 1463-1478
Persistent link: https://www.econbiz.de/10009356092