A stock's exposure to systematic risk factors is surrounded by substantial uncertainty. This beta uncertainty is both …

risk on stocks. The analysis technique used is multiple linear regression. The results showed that the financial … performance did not significantly affect the systematic risk of the company's stock …

regression method with the Blume and the t-distribution methods from the point of view of reference-day risk. Our results …

weekly data and prospect theory for monthly data. The results demonstrate that the risk of a stock can be underestimated or …

We propose a proxy for a climate risk factor, the pollutive-minus-clean (PMC) portfolio, which captures differences in … obtain estimates of asset-level climate risk exposure: 'carbon beta'. Validation of carbon betas confirms that variation in … climate risk exposures aligns with our prior expectations. Our measure has desirable properties regarding availability …

We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the …

studies on the stability of companies' systematic risk, but the literature and research lack an analysis of the stability of … companies' systematic risk. It cannot be ruled out (hypothesis) that the beta coeffi cient for companies listed in the WIG …

theory, despite this, it is the CAPM beta that is the most common tool for integrating the risk factor into financial models …) is associated with a certain level of risk. An effective mechanism in the context of leveling investment risks can be an … cash flow valuation is one of the most common and reliable. The beta coefficient as a measure of market risk is of …

(CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk … time-frequency CAPM to perform systematic risk analysis and portfolio allocation. … characteristics. We use a daily panel of French stocks from 2012 to 2022. Results show that varying systematic risk varies in time and …

Digital Portfolio Theory (DPT) permits investors to control their risk exposure with respect to multiple time horizons … horizons. The time horizon composition of single period risk creates hedging demands based on investor holding period and …-sample optimal allocations for alternative levels of systematic, unsystematic and horizon length risk. The empirical test examines …