portfolio weights. In order to fulfil this gap we answer three questions: which is the minimum risk premium that justifies … definition of crossed beta and the net risk premium ratio that stems from it. The latter fulfils the axioms of risk …/reward performance measures. The three answers to the questions are related to the net risk premium. The analysis in developed for the …

The capital asset pricing model has failed to explain the effect of systematic risk (referred to as beta) on actual …

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 …

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

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 …

work for long-horizon returns. Long-short portfolios sorted on size, value, and momentum have CAPM betas that can reverse …

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 …