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Earnings-consumption betas and stock valuation

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What drives the liquidity premium in the Chinese stock market?

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Liquidity and asset prices : an empirical investigation of the nordic stock markets

Butt, Hilal Anwar; Virk, Nader Shahzad - In: European financial management : the journal of the … 21 (2015) 4, pp. 672-705

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Beta and returns revisited : evidence from the German stock market

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Beta and size equity premia following a high-VIX threshold

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Does momentum trading generate extra downside risk?

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Validity of Capital Asset Pricing Model & Stability of Systematic Risk (Beta) : An Empirical Study on Indian Stock Market

maji, krishnendu - 2010

The capital asset pricing model (CAPM) is the standard risk-return model used by most academicians and practitioners …. The underlying concept of CAPM is that investors are rewarded for only that portion of risk which is not diversifiable … (January 2005 to December 2008) for the analysis. The studies provide evidence against the CAPM hypothesis. And finally, the …

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Revisiting the risk-return relation in the Chinese stock market : decomposition of risk premium and volatility feedback effect

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Are downside higher order co-moments priced? : evidence from the French market

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The evolution of risk premium as a measure for intra-regional equity market integration

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