and to discuss the implications for economic theory with respect to market efficiency and option pricing. …

a general risk indicator, and to multi-scale CAPM portfolio theory as a systematic risk indicator. In the study …In this study, variance changing to the scale and multi-scale Capital Asset Pricing Model (CAPM) is tested by Wavelets …). In multi-scale CAPM, it is determined that systematic risk of all stocks is changed to frequency (scale) and increased at …

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 …

(SDR) term structure consistent with both the (augmented) Ramsey rule and the consumption-based CAPM. Using this approach …

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 …