definition of crossed beta and the net risk premium ratio that stems from it. The latter fulfils the axioms of risk …

of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta … that the downside cash flow beta and downside discount rate beta carry the largest premia. We subject our result to an …, periods, and return decomposition methods, and is the only component of beta that has significant out-of-sample predictive …

The low (high) abnormal returns of stocks with high (low) beta - the beta anomaly - is one of the most persistent … important driver of the beta anomaly. The beta anomaly is no longer detected when beta-sorted portfolios are neutralized to … beta anomaly is concentrated in stocks with low levels of institutional ownership and it exists only when the price impact …

The capital asset pricing model has failed to explain the effect of systematic risk (referred to as beta) on actual … study analysis empirically confirms a positive relationship between overnight returns and beta and a negative relation … between daytime returns and beta. Furthermore, this paper aims to determine that empirical results are mostly the same with …

deliver absolute returns and also show that the beta risks involved with FHF are high. The advantages of FHF should thus …