the financiers. In the context of modern asset pricing models, say the CAPM model or the Fama-French three factor model …

models to take into account different dynamics of equity excess returns between emerging and developed equity indices … fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular …

idiosyncratic risk and finds a strong positive relation between expected idiosyncratic volatility and returns, suggesting missing … returns only exists for small firms which are difficult to arbitrage. The relation between idiosyncratic volatility and … returns is strong for the smallest quartile of stocks, but decreases with size and becomes non-existent for the largest …

-sectional variation in expected returns. Although the levels of volatilities from the physical and risk-neutral distributions cannot … predict future returns, there is a significant relation between volatility spreads and expected stock returns. Portfolio level … analyses and firm-level cross-sectional regressions indicate a negative and significant relation between expected returns and …

The Capital Asset Pricing Model (CAPM) predicts a positive relation between risk and return, but empirical studies find … CAPM assumption it relates to. Interestingly, various explanations relate to investor behavior that is rational given … argue that although the CAPM may be bad at explaining reality, addressing the reasons for its failure could actually be a …

The Capital Asset Pricing Model (CAPM) predicts a positive relation between risk and return, but empirical studies find … CAPM assumption it relates to. Interestingly, various explanations relate to investor behavior that is rational given … argue that although the CAPM may be bad at explaining reality, addressing the reasons for its failure could actually be a …

sentiment in the relation between sensitivity to innovations in implied market volatility and expected stock returns. Using both … returns in both high-sentiment and low-sentiment regimes. We find that exposure to aggregate volatility risk is negatively … related to returns when sentiment is low. However, this relation loses its significance when sentiment is high. The documented …

Indonesian capital market and the CAPM (Capital Asset Pricing Model) is able to explain portfolio returns. However, CAPM is still …. The aim of this research is to test the ability of that model to explain the returns of portfolios formed under market … able to explain the winner and loser portfolio returns well. However, when the factors of profitability (RMW) and …

well as on size and momentum, and I try to explain their returns with the above-mentioned asset pricing models. The CAPM …In this paper, I test the performance of the CAPM, Fama-French three-factor and Carhart four-factor models on the … to explain the returns on the size and momentum sorted portfolios. With the exception of the momentum factor, the local …

the French stock market. Using returns on at-the-money straddles written on the CAC 40 index as a proxy for systematic …