Thang Cong Nguyen; Tan Ngoc Vu; Duc Hong Vo; McAleer, … - In: Risks : open access journal 8 (2020) 2/36, pp. 1-14
conducted to examine if beta, proxied for a systematic risk, should be considered valid in the application of the CAPM at the … rate, inflation, and GDP are examples of systematic risk. Findings from this study indicate that the selection of portfolio … construction, estimation technique, and news about economic conditions significantly affects the view whether or not beta should be …