This study presents a new method for calculating beta through a back-solving process, which assumes the Capital Asset Pricing Model (CAPM) to be absolute. This process has improved asset pricing abilities and allows for the discovery of the “one-true” market returns. The market portfolio...

This paper tests five macroeconomic variables that have been both theorized to affect stock returns and been proven to in past empirical research. Those variables are risk premium, industrial production, term structure, expected inflation, and unexpected inflation. The variables are retested for...

An empirical study comprised of six emerging market portfolios and five industry replicating portfolios from the USA using data from 2005 to 2014. The purpose of this study is to test the ability of the ex-ante beta against the ex-post beta using six different generalized autoregressive...