flat, or even negative. This is inconsistent with theoretical models such as the CAPM, which predict a positive relation …, but consistent with the results of studies for developed equity markets. The volatility effect appears to be growing …. Finally, we find that the volatility effect in emerging markets is only weakly related to that in developed equity markets …

This paper aims to identify the likely source(s) of value that cryptocurrencies exhibit in the marketplace using cross …, avoiding much of the price volatility associated with the dollar price of Bitcoin. The resulting model can be used so better … understand the drivers of value observed in cryptocurrencies. These findings may also have implications in understanding other …

Capital Asset Pricing Model (CAPM) predicts that expected returns on securities are a positive linear function of their … controversy regarding the empirical validity of CAPM. The present research paper is an empirical assessment of this financial …

We make two methodological modifications to the method of testing CAPM beta and we show that these significantly affect … inferences about the association between CAPM beta and stock returns. While the conventional beta proxy is indeed largely … beta’s deficiencies do not seem to outperform beta. This suggests that weak empirical support for CAPM beta is likely …

asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market …

utilities firms in Brazil with monthly data from March 2006 to June 2011. The traditional CAPM is rejected, together with the … cost of equity increase relative to the traditional CAPM and Fama-French models. Accounting for conditional …

expected returnsand betas. The numerical results of a Monte Carlo simulation showthat in the CAPM slightly inefficient … the resultssuggest that the CAPM’s pricing error is small when slightly inefficient,positively weighted proxies are used. …