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Asset pricing with extreme liquidity risk

Wu, Ying - In: Journal of empirical finance 54 (2019), pp. 143-165

Persistent link: https://www.econbiz.de/10012174793

Asset Pricing Anomalies – Liquidity Risk Spreaders or Liquidity Risk Hedgers?

Virk, Nader - 2020

A unified explanation of risk and mispricing in stock returns underpinned by their aggregate liquidity risk is presented. We argue alternating liquidity exposures depict two distinct investment preferences-hedging against aggregate liquidity risk or betting on it. A three-factor model capturing...

Persistent link: https://www.econbiz.de/10012847658

Yes, CAPM is dead

Lai, Tsong-yue; Stohs, Mark Hoven - In: International journal of business 20 (2015) 2, pp. 144-158

Persistent link: https://www.econbiz.de/10011286487

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

An analysis of the relation between return and beta for portfolios of Turkish equities

Terregrossa, Salvatore J.; Eraslan, Veysel - In: Cogent economics & finance 4 (2016) 1, pp. 1-8

of realized market-portfolio excessreturn, with the estimation of the security market plane (SMP) model. The study has … the capital asset pricing model (CAPM). Enhanced accuracy of expected asset-return, in turn, may lead to more accurate …

Persistent link: https://www.econbiz.de/10011450716

The Conditional Capital Asset Pricing Model Revisited : Evidence from High-Frequency Betas

Hollstein, Fabian - 2019

When using high-frequency data, the conditional CAPM can explain asset-pricing anomalies. Using conditional betas based … as well as 3 out of 6 of the anomaly component excess returns. Using high-frequency betas, the conditional CAPM is able …

Persistent link: https://www.econbiz.de/10012892813

Institutional investor sentiment, beta, and stock returns

Wang, Wenzhao - In: Finance research letters 37 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012484979

Beta dispersion and market timing

Kuntz, Laura-Chloé - In: Journal of empirical finance 59 (2020), pp. 235-256

Persistent link: https://www.econbiz.de/10012437978

Fundamental beta and portfolio performance : evidence from an emerging market

Hafsal K.; Durai, S. Raja Sethu - In: Macroeconomics and finance in emerging market economies 13 (2020) 3, pp. 264-275

Persistent link: https://www.econbiz.de/10012286476

Beta dispersion and market timing

Kuntz, Laura-Chloé - 2020

The beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the US...

Persistent link: https://www.econbiz.de/10012264452