This paper examines the estimation of global and local betas for a large set of Developed and Emerging international …

this study, we examine Capital Asset Pricing Model (CAPM) in its international ontext (ICAPM) using the monthly equity …

estimates according to the Capital Asset Pricing Model (CAPM). The main objective of this research is to compare the Polish and …

The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence … of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical … results regarding the relation between market Beta and average return, Fama and French (1996) conclude that the CAPM is no …

Due to a lack of supporting evidence, market beta in the widely-acclaimed Capital Asset Pricing Model (CAPM) is … traditional market beta. We conclude that observed market beta provides renewed empirical support for CAPM theory …

novel conditional moment estimation method that is simple, non-parametric, and modifies the realized volatility approach to … work for long-horizon returns. Long-short portfolios sorted on size, value, and momentum have CAPM betas that can reverse …

This paper demonstrates that the forecasted CAPM beta of momentum portfolios explains a large portion of the return …