very important for the risk-return characteristics of the resulting portfolios and their sensitivities to common risk … design elements of low-beta strategies too. If smaller firms are excluded, risk-adjusted returns of low-beta strategies can …

CAPM and Fama-French four factor model, using t-scores of estimated betas as a proxy for estimation risk. I show that this … estimation risk, is itself a priced risk. I primarily consider parameter uncertainty in the context of factor models such as the … form of estimation risk is priced. I then construct a monthly risk factor from hedge portfolios and show that this factor …

A stock's exposure to systematic risk factors is surrounded by substantial uncertainty. This beta uncertainty is both …

Regardless of whether the CAPM is rejected for valid reasons or by mistake, a single long-short portfolio will always … “Low-Minus-High (LMH) portfolio,” need not proxy for fundamental risk. We show theoretically how factors based on valuation …

various frequencies, we define a \textit{quantile spectral} beta representation that characterizes asset's risk generally … market risk that captures dependence between extremely low market and asset returns. Second, extreme market volatility risk … as daily data. These results suggest that both frequency-specific tail market risk and extreme volatility risk are priced …

We develop a continuous-time intertemporal CAPM model that allows for risky beta exposure, which we explicitly specify … the stochastic discount factor and deviates from the standard security market line when beta risk is priced. When … estimating the model on returns and options we find that allowing for beta risk helps explain the expected returns on the low and …

We show theoretically that when Bayesian investors face time-series uncertainty about assets' risk exposures …, differences in their priors affect the pricing of risk in the cross-section: different priors for the same asset can generate … differences in perceived risk exposures, and thereby differences in required returns. The main testable implication is that the …

regression method with the Blume and the t-distribution methods from the point of view of reference-day risk. Our results …

requirement for all applications of the capital asset pricing model (CAPM). This research documents evidence of reference-day risk …-reward tenet postulated by the CAPM. Using beta as a measure of systematic risk, this research finds that the CAPM appears to …The ability to accurately estimate systematic risk (or beta) in the presence of reference-day risk is an ineluctable …

This essay seeks to rehabilitate the capital asset pricing model by splitting beta, the basic unit of systematic risk … volatility and correlation, as well as cash-flow and discount-rate effects. Splitting the atom of systematic risk answers some of …