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Security returns, beta, size, and book-to-market equity : evidence from the Shanghai A-share market

Morelli, David - In: Review of quantitative finance and accounting 38 (2012) 1, pp. 47-60

Persistent link: https://www.econbiz.de/10009507973

The vitality of beta in the ASEAN stock markets

Aumeboonsuke, Vesarach - In: Investment management and financial innovations 11 (2014) 3, pp. 81-86

Persistent link: https://www.econbiz.de/10010512180

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

Testing the CAPM for the Brazilian stock market using multivariate GARCH between 1995 and 2012

Godeiro, Lucas Lúcio; Silva, Cesar R. da; Rodrigues, … - In: Journal of finance and investment analysis 2 (2013) 2, pp. 15-39

The paper tests the CAPM for the Brazilian stock market using dynamic betas. The sample involves 28 stocks included in …

Persistent link: https://www.econbiz.de/10009746028

VaR and the cross-section of expected stock returns : an emerging market evidence

Chen, Dar-hsin; Chen, Chun-Da; Wu, Su-chen - In: Journal of business economics and management 15 (2014) 3, pp. 441-459

Persistent link: https://www.econbiz.de/10010376607

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

Betting against beta

Frazzinia, Andrea; Pedersen, Lasse Heje - In: Journal of financial economics 111 (2014) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10010255547

Back to the future betas : empirical asset pricing of US and Southeast Asian markets

French, Jordan - In: International Journal of Financial Studies : open … 4 (2016) 3, pp. 1-13

. The crux of the traditional Capital Asset Pricing Model (CAPM) methodology is using historical data in the calculation of …

Persistent link: https://www.econbiz.de/10011526799

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

On tests of the conditional relationship between beta and returns

Cooper, Ian - In: Applied financial economics 19 (2009) 4/6, pp. 427-432

Persistent link: https://www.econbiz.de/10003828722