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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

The effect of exchange rate risk on the conditional relationship between beta risk and return in international equity markets

Sandoval, Eduardo; Vásquez, Arturo - In: The international journal of business and finance … 2 (2008) 2, pp. 1-18

Persistent link: https://www.econbiz.de/10003951974

Testing the relation between beta and returns in the Athens stock exchange

Theriou, Nikolaos G.; Aggelidis, Vassilios P.; … - In: Managerial finance 36 (2010) 12, pp. 1043-1056

Persistent link: https://www.econbiz.de/10008778149

A tale of two anomalies : higher returns of low-risk stocks and return seasonality

Fiore, Christopher; Saha, Atanu - In: The financial review : the official publication of the … 50 (2015) 2, pp. 257-273

Persistent link: https://www.econbiz.de/10011282741

Does beta explain global equity market volatility : some empirical evidence

Kurach, Radoslaw - In: Contemporary economics 7 (2013) 2, pp. 55-66

this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity …

Persistent link: https://www.econbiz.de/10009770247

Conditional relation between systematic risk and returns in the conventional and downside frameworks : evidence from the Indonesian market

Nurjannah; Galagedera, Don U. A.; Brooks, Robert - In: Journal of emerging market finance 11 (2012) 3, pp. 271-300

Persistent link: https://www.econbiz.de/10010380791

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