This paper demonstrates that the forecasted CAPM beta of momentum portfolios explains a large portion of the return, ranging from 40% to 60% for stock level momentum, and 30% to 50% for industry level momentum. Beta forecasts are from a realized beta estimator using daily returns over the prior...

This paper demonstrates that the low volatility anomaly exists in Australian stock returns. Consistent with previous literature on other countries, low realized volatility stocks earn superior risk-adjusted returns than high realized volatility stocks. Our key findings show value-weighted...

Recent advances in the measurement of beta (systematic return risk) and volatility (total return risk), demonstrate substantial advantages in utilizing high frequency return data in a variety of settings. These advances in the measurement of beta and volatility have resulted in improvements in...

Recent advances in the measurement of beta (systematic return risk) and volatility (total return risk) demonstrate substantial advantages in utilizing high-frequency return data in a variety of settings. These advances in the measurement of beta and volatility have resulted in improvements in...

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...