The assumption that daily stock returns are normally distributed has long been disputed by the data. In this article the normality assumption is tested (and clearly rejected) using time series of daily stock returns for 13 European securities markets. More importantly, four alternative...

Beta as a measure of risk has been under fire for many years. Although practitioners still widely use the CAPM to estimate the cost of equity of companies, they are aware of its problems and are looking for alternatives. A possible alternative is to estimate the cost of equity based on the...