risk premium as high as 9.72% on an annual basis, even after controlling for global systematic risk factors. While most … exposed to higher oil beta uncertainty. We show that the risk premium associated with oil beta uncertainty cannot be explained …, which in turn contributes to a risk premium associated with oil beta uncertainty. The findings present a new, behavioral …

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

Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and … beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 … discontinuous betas in portfolios of stocks as the number of holdings increase. We show that discontinuous risk dissipates faster …

One of the consequences of the Capital Asset Pricing Model (CAPM) is that the expected excess return of a financial … market. CAPM therefore implies that stocks with larger empirical estimates of beta will tend to produce larger returns. We …

Previous research indicates that long-term investors are not compensated for beta or volatility risk. This study shows …. Theoretical beta portfolios defined to perform exactly as the Capital Asset Pricing Model (CAPM) would predict on a monthly basis …

hybrid asset class, with returns explained by a rich mix of compensated risk factors plus uncompensated sector risk. He shows … that the same is true for private real estate, but with the additional contribution to risk from misappraisals. It is the …

risk-adjusted performance about 40% of Smart Beta ETFs outperformed their related traditional ETFs after expenses. The …

profit from these effects earn average returns similar to those of the factors, with substantially reduced risk. Betas are …