The cornerstone of the capital asset pricing model (CAPM) lies with its beta. The question of whether or not beta is … ongoing. Many empirical studies have been conducted to test the validity of beta within the framework of CAPM. However, it is … conducted to examine if beta, proxied for a systematic risk, should be considered valid in the application of the CAPM at the …

market, we report that the conventional beta coefficients estimated from CAPM are essentially an average of wavelet betas but …

Exposure to market risk is a core objective of the Capital Asset Pricing Model (CAPM) with a focus on systematic risk …, the CAPM considers only one source of risk and supposes that investors only engage in similar behaviors. In order to …

(SDR) term structure consistent with both the (augmented) Ramsey rule and the consumption-based CAPM. Using this approach …

capital market, one of the most common being the Capital Asset Pricing Model (CAPM). After reviewing the literature in this … area, this study discusses the theoretical background of the CAPM model. After explaining the relationship between … systematic risk and the relation of these coefficients to the CAPM model predictions are tested. Thus, after data sampling to …

Conditional heteroskedasticity of the error terms is a common occurrence in financial factor models, such as the CAPM …