portfolio weights. In order to fulfil this gap we answer three questions: which is the minimum risk premium that justifies … definition of crossed beta and the net risk premium ratio that stems from it. The latter fulfils the axioms of risk …/reward performance measures. The three answers to the questions are related to the net risk premium. The analysis in developed for the …

The capital asset pricing model has failed to explain the effect of systematic risk (referred to as beta) on actual …

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 … discontinuous betas in portfolios of stocks as the number of holdings increase. We show that discontinuous risk dissipates faster …

employing the Capital Asset Pricing Model (CAPM), we evaluate the performance of fifty ETFs according to their rating by the …

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

Undiversifiable (or systematic risk) has long been an enemy of investors. Many countercyclical strategies have been … technique, founded on the premise of physiological bias and risk-aversion. We take a behavioral discussion in order to … negative betas to the S&P 500, while exhibiting similar risk-adjusted excess returns over both bull and bear markets. Further …

studies on the stability of companies' systematic risk, but the literature and research lack an analysis of the stability of … companies' systematic risk. It cannot be ruled out (hypothesis) that the beta coeffi cient for companies listed in the WIG …

(CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk … time-frequency CAPM to perform systematic risk analysis and portfolio allocation. … characteristics. We use a daily panel of French stocks from 2012 to 2022. Results show that varying systematic risk varies in time and …