this study, we examine Capital Asset Pricing Model (CAPM) in its international ontext (ICAPM) using the monthly equity … country betas are time-varying and that currently, global factors are the dominant source of equity market volatility …

this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity … country betas are time-varying and that currently, global factors are the dominant source of equity market volatility …

When using high-frequency data, the conditional CAPM can explain asset-pricing anomalies. Using conditional betas based … as well as 3 out of 6 of the anomaly component excess returns. Using high-frequency betas, the conditional CAPM is able …

volatility, even controlling for mispricing, limits to arbitrage, lottery preferences, analyst disagreement, and sentiment …. Moreover, the leverage constraints theory counterfactually predicts that market and BAB Sharpe ratios increase with volatility …. We further show that institutional investors shift their demand from high- to low-beta stocks as volatility increases …

In this note we document interactive relations between the excess volatility and the momentum effect in the cross … profitable strategy is to buy the loser portfolio with the greatest excess volatility and sell the loser or winner portfolio with … the least excess volatility for all the three periods. But there are profitable strategies of buying a winner portfolio …