CAPM, components of beta and the cross section of expected returns
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DOI: 10.1016/j.jempfin.2018.10.002
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- Knápek, J. & Starý, O. & Vávrová, K. & Bemš, J. & Weger, J. & Horák, M., 2024. "Modelling the impact of business risk on the competitiveness of purpose-grown biomass of annual and perennial crops," Renewable and Sustainable Energy Reviews, Elsevier, vol. 202(C).
- Guglielmo Maria Caporale & Luis A. Gil-Alana & Miguel Martin-Valmayor, 2020. "Persistence in the Realized Betas: Some Evidence for the Spanish Stock Market," CESifo Working Paper Series 8171, CESifo.
- Guglielmo Maria Caporale & Luis A. Gil-Alana & Miguel Martin-Valmayor, 2024. "Persistence in the Realized Betas: Some Evidence from the Stock Market," JRFM, MDPI, vol. 17(4), pages 1-28, April.
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"Long- and short-run components of factor betas: Implications for stock pricing,"
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More about this item
Keywords
Asset pricing; Systematic risk; Realized beta; Component models;All these keywords.
JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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