The CAPM is commonly used for an introduction of the equity cost in practice to calculate the corporate value, which is … hand, the volatility is one of the compositions of equity cost, which is indifferent to the equity return. Theoretically …

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 …

volatility of the price--dividend ratio, the predictability of cash flows and returns, and the large predictability of returns in …

This paper finds that price inefficiency in individual stocks contributes to expected idiosyncratic volatility. If …

allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a … provide a statistical approach to estimate the volatility of these factors. The efficacy of this approach relative to the use … of models based on squared returns is demonstrated for forecasts of the market volatility and a portfolio allocation …

-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …

-Estimator whose inputs (period used for local volatility calculation and confidence level used for jump detection) were also optimized …