The CAPM is commonly used for an introduction of the equity cost in practice to calculate the corporate value, which is … composed by the risk-free rate, equity market return and each respective beta. However, there is a fundamental complication … between the risk, cost and return for the equity valuation. In the fixed income investment, the excess risk is basically …

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 …

closed-form solution for the case where informed agents are risk neutral and the market maker is risk averse. Market …. Thus, liquidity risk is an endogenous parameter determined in equilibrium. Expected market liquidity, liquidity risk, and … the factor. We show that expected market liquidity is lower and liquidity risk is higher when the ex ante volatility of …

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 …

captures the time varying nature of beta exposures that could be interpreted as a common factor with both SR (systematic risk …

work for long-horizon returns. Long-short portfolios sorted on size, value, and momentum have CAPM betas that can reverse …

discontinuous and overnight returns entail significant risk premiums, while the intraday continuous beta does not. These higher risk …

, 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 …