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 …

emerging consensus that betas are in fact time-varying, leading to the prominence of the conditional CAPM. Set against that … individual equity covariances with the market. Working in the recently-popularized framework of realized volatility, we are led …

In this paper, we investigate whether the international version of CAPM can price rational and irrational sentiments of … U.S. individual and institutional investor sentiments. The results show that the CAPM prices rational sentiments driven … positively related to returns predicted, as well as those not predicted by the CAPM. We also compare these findings with the …

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

proposed measure is used in pricing portfolios reflecting the size, value, and momentum premia. The conditional CAPM of … Jagannathan and Wang (1996) is found to best the performance of both the simple CAPM and the ICAPM of Petkova (2006). Moreover, it …

Merton�s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well …

. Such prices determine intrinsic returns that satisfy the CAPM equation. This paper shows that assets that pay a constant … predicts slightly higher discount rates than the CAPM. Empirical evidence supporting the CAPM cannot reject the RVT at a …