This paper demonstrates that a conditional version of the Capital Asset Pricing Model (CAPM) explains the cross section of expected returns, just as well as the three factor model of Fama and French. This is achieved by measuring beta (systematic risk) with short-, medium- and long-run...

Generating one-month-ahead systematic (beta) risk forecasts is common place in financial management. This paper evaluates the accuracy of these beta forecasts in three return measurement settings; monthly, daily and 30 minutes. It is found that the popular Fama-MacBeth beta from 5 years of...

Neutralizing portfolios from overall market risk is an important part of investment management particularly for hedge funds. In this paper we show an economically significant improvement in the accuracy of targeting market neutrality for equity portfolios. Key features of the approach are the...