We discuss various performance measures of beta hedging and offer a new synthetic criterion that accounts for both risk …

The authors study whether the pricing of systematic factors depends on the investment horizon over which risk is … measured. Market beta and Fama--French value beta are priced when risk is measured over intermediate horizons, while liquidity … monotonically as an investor's horizon, for measuring risk, increases, making those assets more attractive to long-horizon investors …

and still find no downside risk premium. We focus on factor analysis results, persistence of downside beta and various …

reactions to market jumps with implications for portfolio risk management. Employing high-frequency data for the constituents of … to the downside and upside jumps can be mitigated. We contrast the risk exposure of individual stocks with those of the …

employing the Capital Asset Pricing Model (CAPM), we evaluate the performance of fifty ETFs according to their rating by the …

This paper examines the stochastic behaviour of the realized betas within the one-factor CAPM for the six companies …

When using high-frequency data, the conditional CAPM can explain asset-pricing anomalies. Using conditional betas based … as well as 3 out of 6 of the anomaly component excess returns. Using high-frequency betas, the conditional CAPM is able …

, forecasts both the returns and the risk of the strategy. Challenging a potential risk-based explanation, a highly cyclical … momentum portfolio forecasts both higher risk and lower returns for the strategy. The results show robustness out …