available data. The data used is represented by monthly returns of 60 companies, listed on the Bucharest Stock Exchange, using a … was conducted for each sub-period, and then again for the whole period. The findings sustain APT only minimally for the 2 …, where 3 factors proved to be significant in influencing the returns of the selected assets. These results and mainly those …

consistent with each of the model's five central predictions: (1) Because constrained investors bid up high-beta assets, high … beta is associated with low alpha, as we find empirically for US equities, 20 international equity markets, Treasury bonds …, corporate bonds, and futures. (2) A betting against beta (BAB) factor, which is long leveraged low-beta assets and short high-beta …

€“run dynamics of market cash flows (dividends) and discount rates (returns), price average returns on single–sorted portfolios in … the Greek stock market. Our results suggest that a two–beta intertemporal capital asset pricing model explains half of … the cross–sectional variation in average returns and delivers an economically and statistically acceptable estimate of …

of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta … the downside cash flow beta and downside discount rate beta carry the largest premia. We subject our result to an … average betas to compute the contribution of the different risk components to realized average returns. We find that up and …

of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta … that the downside cash flow beta and downside discount rate beta carry the largest premia. We subject our result to an …, periods, and return decomposition methods, and is the only component of beta that has significant out-of-sample predictive …

Option-implied betas are a promising alternative to historical beta estimators, because they are inherently forward …-looking and can incorporate new information immediately and fully. Recently, different implied beta estimators have been developed … first systematic comparison between six different implied beta estimators, which provides some guidance for applications and …

of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta … that the downside cash flow beta and downside discount rate beta carry the largest premia. We subject our result to an …, periods, and return decomposition methods, and is the only component of beta that has significant out-of-sample predictive …

factor parameters in the CAPM of Sharpe (1964), the HCAPM of Jagannathan and Wang (1996) and the CCAPM of Lucas (1978) can … help to explain the cross-section of book-to-market, size and industry portfolio returns. In addition to classic financial … models and that (b) a CAPM using the labour income to consumption ratio as a conditioning variable proves to be the best …

This paper decomposes the overall market beta of common stocks into four parts reflecting uncertainty related to the … Merton�s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well … in pricing average returns on single- and double- sorted portfolios according to size, book-to-market, dividend …