this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity …

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 … discontinuous betas in portfolios of stocks as the number of holdings increase. We show that discontinuous risk dissipates faster …

profit from these effects earn average returns similar to those of the factors, with substantially reduced risk. Betas are …

power than the CAPM to account for time series variation of stock returns. Our findings show that firm size and book … CAPM beta is not alone sufficient to explain the average expected stock returns in Bangladesh …

-variance-asymmetry (AVIX) framework for incorporating higher-moment and co-moment risk in asset pricing. AVIX is a risk-neutral measure of the … of risk/return relationship and the hedging ability against bear/crashing markets. We develop an investible portfolio MKT …

the lowest unemployment beta decile can generate higher excess and risk-adjusted returns compared to the higher … of sensitivity analyses accounting for alternative approaches, risk, and macroeconomics indicators, our results remain …

risk on stocks. The analysis technique used is multiple linear regression. The results showed that the financial … performance did not significantly affect the systematic risk of the company's stock …

(CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk … time-frequency CAPM to perform systematic risk analysis and portfolio allocation. … characteristics. We use a daily panel of French stocks from 2012 to 2022. Results show that varying systematic risk varies in time and …