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Is consumption risk priced in the stock market?
Semenov, Andrei - In: Journal of empirical finance 26 (2014), pp. 112-130
Persistent link: https://www.econbiz.de/10010472000
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Revisiting the CAPM model with quantile regression : creating investment strategies on the Zagreb Stock Exchange
Škrinjarić, Tihana; Slišković, Marina - In: International journal of economics and business … 19 (2020) 3, pp. 266-289
Persistent link: https://www.econbiz.de/10012205614
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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
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Asset pricing and default risk
Breig, Christoph - 2011
Persistent link: https://www.econbiz.de/10008779050
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Beta coefficients of Polish blue chip companies in the period of 2005 - 2011
Dębski, Wiesław; Feder-Sempach, Ewa - In: Folia oeconomica Stetinensia : FOS 12 (2012) 2, pp. 90-102
Persistent link: https://www.econbiz.de/10010241685
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Betting against beta
Frazzinia, Andrea; Pedersen, Lasse Heje - In: Journal of financial economics 111 (2014) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10010255547
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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
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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
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
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Liquidity and asset prices : an empirical investigation of the nordic stock markets
Butt, Hilal Anwar; Virk, Nader Shahzad - In: European financial management : the journal of the … 21 (2015) 4, pp. 672-705
Persistent link: https://www.econbiz.de/10011408519
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Asset pricing with time-varying betas for stock traded on S&P 500
Messis, Petros; Zapranis, Achilleas - In: Applied economics 46 (2014) 34/36, pp. 4508-4518
Persistent link: https://www.econbiz.de/10010462694