this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity … country betas are time-varying and that currently, global factors are the dominant source of equity market volatility …

this study, we examine Capital Asset Pricing Model (CAPM) in its international ontext (ICAPM) using the monthly equity … country betas are time-varying and that currently, global factors are the dominant source of equity market volatility …

We find that the relation between the idiosyncratic volatility (IVOL) anomaly and the beta anomaly is quite different …-alpha relation. A measure of idiosyncratic volatility over a long window, popularly used by the investments industry to construct low-volatility … low volatility investing, and enrich the debate about the relation between the two low-risk anomalies …

small-cap stocks (versus large-cap stocks) is reliably earned only after the expected stock-market volatility breaches an … persistently evident over months t+1 to t+6 following a volatility-threshold breach in month t-1. Conversely, this nonlinear risk … habit-consumption utility, intermediary asset pricing, and stochastic-volatility asset pricing are likely contributing …

ratings and lower volatility are each associated with smaller betas. Industry effects are also apparent. We use the estimates …

volatility, even controlling for mispricing, limits to arbitrage, lottery preferences, analyst disagreement, and sentiment …. Moreover, the leverage constraints theory counterfactually predicts that market and BAB Sharpe ratios increase with volatility …. We further show that institutional investors shift their demand from high- to low-beta stocks as volatility increases …