-memory models or implicitly imposing infinite memory. We find that both approaches are inadequate: beta factors show consistent long …. A pure long-memory model reliably provides superior beta forecasts compared to all alternatives. Finally, we document …

The capital asset pricing model has failed to explain the effect of systematic risk (referred to as beta) on actual … study analysis empirically confirms a positive relationship between overnight returns and beta and a negative relation … between daytime returns and beta. Furthermore, this paper aims to determine that empirical results are mostly the same with …

of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta … the downside cash flow beta and downside discount rate beta carry the largest premia. We subject our result to an …

distribution form, mean, variance, skewness, kurtosis and we also compute the rolling window beta coefficient for all the studied … companies is that the first ones seem to have lower value for beta and as result they offer much more efficiency for portfolio …

We analyzed the evolution of systematic risk (beta) for a sample of 436 non-financial companies from five Central and … Europe have higher beta than utilities companies. We also identified a set of “defensive” shares in Czech Republic, Hungary …

beta axes, implying that a particular mean security return corresponds with a limited Knightian uncertainty range of betas …

Sistematik risk olcutu olarak ifade edilen beta (ß) katsayisi, hisse senedinin getirisi ile pazar getirisi arasindaki … iliskiyi gosterir. Bu calismanin amaci beta katsayisinin gelecekte ulasacagi degerin tahmin edilmesidir. Bu baglamda Istanbul … aylik, uc aylik, alti aylik ve yillik donemler itibariyle tarihi beta katsayilari hesaplanmistir. Daha sonra hesaplanan beta …