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The CAPM, national stock market betas, and macroeconomic covariates : a global analysis

Curran, Michael; Velic, Adnan - 2018

Persistent link: https://www.econbiz.de/10011898916

Asset pricing and default risk

Breig, Christoph - 2011

Persistent link: https://www.econbiz.de/10008779050

Continuous and jump betas : implications for portfolio diversification

Alexeev, Vitali; Dungey, Mardi H.; Yao, Wenying - In: Econometrics : open access journal 4 (2016) 2, pp. 1-15

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 generally exceed the corresponding continuous betas. We...

Persistent link: https://www.econbiz.de/10011506397

An analysis of the relation between return and beta for portfolios of Turkish equities

Terregrossa, Salvatore J.; Eraslan, Veysel - In: Cogent economics & finance 4 (2016) 1, pp. 1-8

of realized market-portfolio excessreturn, with the estimation of the security market plane (SMP) model. The study has … the capital asset pricing model (CAPM). Enhanced accuracy of expected asset-return, in turn, may lead to more accurate …

Persistent link: https://www.econbiz.de/10011450716