returns on 20 portfolios on theirs beta coefficients is positive. Considering this set of 402 slopes as a random sample drawn … perfect linear relationship between the expected return and the true beta of securities and portfolios or, in other terms, in …

analysis cannot guarantee abnormal returns consistently to any pre-identified strategy or market participant, be they novice or …

Asset Pricing Model (CAPM) under different data frequencies, time frames and indices. It is found that there is no … difference in returns. …

into cash flows over time. I also find significant abnormal returns to inflation-based trading strategies, suggesting that …

the CAPM beta factor, at least five other factors are significant in determining time series and cross sectional …Arbitrage Pricing Theory is a one period asset pricing model used to predict equity returns based on a multivariate … explain returns on twenty U.S. stocks, using monthly data over the period 2000-2005. Our findings indicate that, apart from …

expected returns on portfolios, re-affirming the notion that stock markets lead to reduction in the cost of funds; and thus a …

beta axes, implying that a particular mean security return corresponds with a limited Knightian uncertainty range of betas …

stock returns using data from two prominent national stock exchanges of India. We find that when the tax on equity …. Since the volatility of returns on stocks is not constant through time, conditional heteroscedasticity models are used to … estimate the volatility of stock returns. The impact of tax on volatility of return on indices is insignificant. …