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Recalcitrant betas : intraday variation in the cross-sectional dispersion of systematic risk

Andersen, Torben; Thyrsgaard, Martin; Todorov, Viktor - In: Quantitative economics : QE ; journal of the … 12 (2021) 2, pp. 647-682

earning announcements and releases of macroeconomic news. We find that earnings news increase beta dispersion while FOMC …

Persistent link: https://www.econbiz.de/10012598456

Return prediction with time varying betas : a research in BIST

Akyatan, Ayca; Çetin, M. Koray - In: International journal of accounting and finance 10 (2020) 1, pp. 64-86

Persistent link: https://www.econbiz.de/10012504722

Are standard asset pricing factors long-range dependent?

Auer, Benjamin R. - In: Journal of economics and finance 42 (2018) 1, pp. 66-88

Persistent link: https://www.econbiz.de/10011978140

Stock price reaction to profit warnings : the role of time-varying betas

Yin, Shuxing; Mazouz, Khelifa; Benamraoui, Abdelfahid; … - In: Review of quantitative finance and accounting 50 (2018) 1, pp. 67-93

Persistent link: https://www.econbiz.de/10011979095

Beta stability over bull and bear market on the Warsaw Stock Exchange

Dębski, Wiesław; Feder-Sempach, Ewa; Świderski, Bartosz - In: Folia oeconomica Stetinensia : FOS 16 (2016) 1, pp. 75-92

Persistent link: https://www.econbiz.de/10011713439

The Bayesian method in estimating Polish and German industry betas : a comparative nalysis of the risk between the main economic sectors from 2001-2020

Feder-Sempach, Ewa; Szczepocki, Piotr - In: Comparative economic research : Central and Eastern Europe 25 (2022) 2, pp. 45-60

This paper examines the long‑term dependence between the Polish and German stock markets in terms of industry beta risk … estimates according to the Capital Asset Pricing Model (CAPM). The main objective of this research is to compare the Polish and … German beta parameters of five Polish and three German sector indices using the Bayesian methodology in the period 2001 …

Persistent link: https://www.econbiz.de/10013334984

Bear beta or speculative beta? : reconciling the evidence on downside risk premium

Wang, Tong - In: Review of finance : journal of the European Finance … 27 (2023) 1, pp. 325-367

Persistent link: https://www.econbiz.de/10013543164

Index tracking and beta arbitrage effects in comovement

Liao, Yixin; Coakley, Jerry; Kellard, Neil - In: International review of financial analysis 83 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10013461660

Forecasting performance of different betas : Mexican stocks before and during the COVID-19 pandemic

López Herrera, Francisco; González Maiz Jiménez, Jaime; … - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 13, pp. 3868-3880

Persistent link: https://www.econbiz.de/10013462450

Tail risk, beta anomaly, and demand for lottery : what explains cross-sectional variations in equity returns?

Ali, Asgar; Badhani, K. N. - In: Empirical economics : a quarterly journal of the … 65 (2023) 2, pp. 775-804

Persistent link: https://www.econbiz.de/10014329083