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Measuring the systematic risk of stocks using the capital asset pricing model

John, Abonongo; J., Ackora-Prah; Boateng, Kwasi - In: Journal of investment and management : JIM 6 (2017) 1, pp. 13-21

Persistent link: https://www.econbiz.de/10011780109

Monthly beta forecasting with low-, medium- and high-frequency stock returns

Cenesizoglu, Tolga; Liu, Qianqiu; Reeves, Jonathan J.; … - In: Journal of forecasting 35 (2016) 6, pp. 528-541

Persistent link: https://www.econbiz.de/10011595959

Beta risk in the cross-section of equities

Boloorforoosh, Ali; Christoffersen, Peter F.; Fournier, … - 2017

beta co-moves with market variance and the stochastic discount factor (SDF), beta risk is priced, and the expected return … model on equity and option data, we find that beta risk explains expected returns on low- and high-beta stocks, resolving …

Persistent link: https://www.econbiz.de/10011646407

Leverage, default risk, and the cross-section of equity and firm returns

Hood, Frederick M. - In: Modern economy 7 (2016) 14, pp. 1610-1639

Persistent link: https://www.econbiz.de/10011647971

Verifying capital asset pricing model in Greek capital market

Khudoykulov, Khurshid - In: International journal of economics and accounting : IJEA 7 (2016) 1, pp. 55-65

Persistent link: https://www.econbiz.de/10011636109

Black-Litterman, exotic beta and varying efficient portfolios : an integrated approach

Cooper, Ricky Alyn; Molyboga, Marat - In: The journal of investment strategies 6 (2017) 3, pp. 13-30

Persistent link: https://www.econbiz.de/10011731202

Beta vs. characteristics : comparison of risk model performances

Daehwan, Kim - In: Journal of empirical finance 34 (2015), pp. 156-171

Persistent link: https://www.econbiz.de/10011557085

Isolating the systematic and unsystematic components of a single stock's (or portfolio's) standard deviation : a comment

Pizzutilo, Fabio - In: Applied economics 47 (2015) 58/60, pp. 6277-6283

Persistent link: https://www.econbiz.de/10011457263

News Beta : Factoring Sentiment Risk into Quant Models

Hafez, Peter - 2017

The stock market is affected by sentiment. The question is, however, how to quantify this effect on asset prices. By utilizing the unique RavenPack Sentiment Index, a news-based proxy for market sentiment, this paper intends to address this issue empirically by exploring the pricing implications...

Persistent link: https://www.econbiz.de/10012975219

Where do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk

Campbell, John - 1993

return effects. The paper also shows how asset pricing theory restricts the expected excess return components of betas …

Persistent link: https://www.econbiz.de/10012474630

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