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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

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

The CAPM, national stock market betas, and macroeconomic covariates : a global analysis

Curran, Michael; Velic, Adnan - In: Open economies review 31 (2020) 4, pp. 787-820

Persistent link: https://www.econbiz.de/10012302138

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...