Beta has been a controversial measure of risk ever since it was proposed almost half a century ago, and we do not …, and explore the merits of beta in that context. Ultimately, we ask two questions: 1) Is beta a good measure of risk? And … of beta outperforms a passive strategy in terms of both returns and risk-adjusted returns …

Beta has been a controversial measure of risk ever since it was proposed almost half a century ago, and we do not … measure of risk? And, 2) is beta a valuable tool for portfolio selection? Our evidence, spanning over 47 countries, 57 …

Beta has been a controversial measure of risk ever since it was proposed almost half a century ago, and we do not … measure of risk? And, 2) is beta a valuable tool for portfolio selection? Our evidence, spanning over 47 countries, 57 …

findings of the study show that Fama-French-Carhart four risk factors of market, size effect, value and momentum were … frameworks such as CAPM and its extensions are relevant in determining oil stock returns, the level of gearing is irrelevant …, albeit it has been recognised as one of the determinants of the firm’s level of risk. …

In this paper we examine unanticipated outliers of stock market. Weather these outliers are truly Black Swans that can … simple strategy not only removes outliers from portfolio but also increases average daily returns from 0.05% to 0.35%. To … test the risk return proposition we have used Sharpe ratio. We are also able to conclude that the daily Sharpe ratio shoots …

non-trivial extremes. This description might have implications for EVT and market risk management in approximating the …