Earnings announcements present a clear risk to investors and, under rational asset pricing theory, such risk should be … consistently priced in stocks. However, we find that stocks with high earnings announcement risk earn significantly higher returns … the date of announcements. The findings seem to suggest that the risk premium is accrued concurrently when investors …

CAPM (Capital Asset Pricing Model) approach. Our results provide weak evidence of relationship between risk and return …The present study examines the association, if any, between the market beta (β) and the risk-return pattern of selected … sample. Based on the results, these companies were bifurcated into high-risk and low-risk categories applying the standard …

pricing in reported returns. This approach can be further used to estimate volatility and other risk measures. We apply this …

relies on the CAPM model to define the return risk premium, and the OLS method to estimate the beta risk coefficient required …. The risk of trusting the OLS beta is especially high when estimation must rely on a small sample …

The paper tests the CAPM for the Brazilian stock market using dynamic betas. The sample involves 28 stocks included in …

In this article, we test the capital asset pricing model (CAPM) on the Warsaw Stock Exchange (WSE) by measuring the … to risk. The performance was measured by using the capital asset pricing model with statistical inference. We find that …

the capital asset pricing model (CAPM). Enhanced accuracy of expected asset-return, in turn, may lead to more accurate …-return, for a given class of quantifiable-risk. …