markets with particular reference to Nigeria. Beta is a major component of the capital Asset Pricing Model (CAPM) used in the … period of study is Oceanic bank with beta coefficient of 1.63 and the least volatile stock is Ecobank with beta coefficient …

temporary increase in its CAPM beta estimate and a decrease in its CAPM alpha. The increasing effect of breadth of ownership on …-driven components of beta estimates that we find contribute to the empirical failure of the CAPM and the large returns to long … beta estimates strengthens if we classify institutional investors by their historical trading horizon and look at the …

The low (high) abnormal returns of stocks with high (low) beta - the beta anomaly - is one of the most persistent … important driver of the beta anomaly. The beta anomaly is no longer detected when beta-sorted portfolios are neutralized to … beta anomaly is concentrated in stocks with low levels of institutional ownership and it exists only when the price impact …