This study proposes a wavelets approach to estimating time-frequency-varying betas in the capital asset pricing model (CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk-profile robustness. Furthermore, we emphasize the effect of an...

Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 generally exceed the corresponding continuous betas. We...

The purpose of this study is to assess the diversification benefits resulting from international asset allocation. In this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity returns for 26 countries (18 developed and 8 emerging...

Academic and practitioner research has presented strong evidence in support of the addition of commodity futures contracts to a diversified stock portfolio to enhance the risk-return characteristics of the portfolio. Moreover, it is well documented that diversification among risky assets in a...

This paper compares the size and book-to-market value factors of Fama and French (1993) alongside Momentum of Jagadeesh and Titman (1993) with two Liu (2006) liquidity factors formed from 1 year rebalancing and 1 month rebalancing respectively. A heterogeneous and comprehensive sample of the top...

We analyze the potential implications of the regional integration of three stock markets: Macedonian, Croatian and Bulgarian stock exchanges. The first implication is related to the potential for risk diversification which may improve return per unit of risk earned by investors on these markets....

Using several multi-factor models, I find strong "betting against beta'' effects - flat relations between betas and expected returns - for most non-market factors in US and international stock markets. "Arbitrage portfolios'' designed to profit from these effects earn average returns similar to...

The aim of this paper is to investigate the momentum effect in country-level anomalies in global equity markets. By using a sample of 78 countries for the period from 1995 to 2015, we test a set of potential 40 cross-sectional inter-market anomalies, some of which had never been examined before....

We present effective momentum strategies over the liquid equity futures market in India. We evaluate and determine the persistence of the returns at various look-backs ranging from quarterly and weekly to more granular look-backs. We look at a universe of the liquid equity instruments traded...

Taking into account expected return characteristics like firm size and book-to-market in the selection of winners and losers helps to ex ante separate stocks with momentum from those that exhibit reversal in international equity markets. A strategy that buys small value winners and sells large...