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Risk and return nexus in Malaysian stock market : empirical evidence from CAPM

Md. Isa, Abu Hassan; Puah, Chin-Hong; Yong, Ying-Kiu - In: Journal of international economic review 8 (2015) 1, pp. 51-62

Persistent link: https://www.econbiz.de/10011415110

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

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 study adds an empirical outlook on the predicting power of using data from the future to predict future returns …. The crux of the traditional Capital Asset Pricing Model (CAPM) methodology is using historical data in the calculation of … beta formula. The covariance of the portfolio and market returns are assumed to remain constant in the time-varying beta …

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

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

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

Assessing systematic risk using time series regression : an evidence from Indian capital market

Prakash R. P.; Yaragol, Prakash Basanna - In: The journal of Institute of Public Enterprise 41 (2018) 3/4, pp. 46-62

Persistent link: https://www.econbiz.de/10012023499

Stock market return and risk profile in the European banking sector

Pažický, Martin - In: International journal of financial innovation in … 2 (2018) 2, pp. 99-127

Persistent link: https://www.econbiz.de/10011999420

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

A tale of two anomalies : higher returns of low-risk stocks and return seasonality

Fiore, Christopher; Saha, Atanu - In: The financial review : the official publication of the … 50 (2015) 2, pp. 257-273

Persistent link: https://www.econbiz.de/10011282741

An analysis of the relationship between risk and expected return in the BRVM stock exchange : test of the CAPM

Pamane, Kolani; Vikpossi, Anani Ekoue - In: Research in world economy 5 (2014) 1, pp. 13-28

Persistent link: https://www.econbiz.de/10010461988

Asset pricing with time-varying betas for stock traded on S&P 500

Messis, Petros; Zapranis, Achilleas - In: Applied economics 46 (2014) 34/36, pp. 4508-4518

Persistent link: https://www.econbiz.de/10010462694