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Risk and return : Consumption beta versus market beta

Mankiw, N. Gregory; Shapiro, Matthew D. - In: The review of economics and statistics 68 (1986) 3, pp. 452-459

Persistent link: https://www.econbiz.de/10003624721

Essays on financial economics and econometrics

Wu, Jin - 2005

Persistent link: https://www.econbiz.de/10003384696

An empirical investigation of the book-to-market and size effects

Petkova, Ralitsa - 2003

Persistent link: https://www.econbiz.de/10003385465

The conditional CAPM does not explain asset-pricing anomalies

Lewellen, Jonathan; Nagel, Stefan - In: Journal of financial economics 82 (2006) 2, pp. 289-314

Persistent link: https://www.econbiz.de/10003387865

Does downside beta matter in asset pricing?

Pedersen, Christian S.; Hwang, Soosung - In: Applied financial economics 17 (2007) 10/12, pp. 961-978

Persistent link: https://www.econbiz.de/10003538091

Learning about beta : time-varying factor loading expected returns, and the conditional CAPM

Franzoni, Francesco; Adrian, Tobias - 2006

Persistent link: https://www.econbiz.de/10003300157

The changing nature of market risk

Franzoni, Francesco - 2008

In the first three decades of CRSP data, value stocks have higher betas than growth stocks. Later on, the ranking is reversed and the gap in beta widens. What makes growth strategies nowadays bear more market risk than value strategies? What are the causes of the reversal in the ranking of...

Persistent link: https://www.econbiz.de/10003966097

Learning about beta: time-varying factor loadings, expected returns, and the conditional CAPM

Adrian, Tobias; Franzoni, Francesco - 2008

We complement the conditional CAPM by introducing unobservable long-run changes in risk factor loadings. In this … variation in betas, our approach circumvents recent criticisms of the conditional CAPM. When tested on portfolios sorted by size … and book-to-market, our learning-augmented conditional CAPM fails to be rejected …

Persistent link: https://www.econbiz.de/10003966158

CAPM for estimating the cost of equity capital: Interpreting the empirical evidence

Da, Zhi; Guo, Re-Jin; Jagannathan, Ravi - In: Journal of financial economics 103 (2012) 1, pp. 204-220

Persistent link: https://www.econbiz.de/10009492585

How does beta explain stochastic dominance efficiency?

Shalit, Haim; Yitzhaki, Shlomo - In: Review of quantitative finance and accounting 35 (2010) 4, pp. 431-444

Persistent link: https://www.econbiz.de/10009260269