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 …

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 …

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 …

idiosyncratic risk and finds a strong positive relation between expected idiosyncratic volatility and returns, suggesting missing … systematic risk factors or inefficient markets. We document that this positive relation between idiosyncratic volatility and … returns only exists for small firms which are difficult to arbitrage. The relation between idiosyncratic volatility and …

predict future returns, there is a significant relation between volatility spreads and expected stock returns. Portfolio level … the realized-implied volatility spread that can be viewed as a proxy for volatility risk. The results also provide … evidence for a significantly positive link between expected returns and the call-put options' implied volatility spread that …

Indonesian capital market and the CAPM (Capital Asset Pricing Model) is able to explain portfolio returns. However, CAPM is still …

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

In this note we document interactive relations between the excess volatility and the momentum effect in the cross … profitable strategy is to buy the loser portfolio with the greatest excess volatility and sell the loser or winner portfolio with … the least excess volatility for all the three periods. But there are profitable strategies of buying a winner portfolio …