The Capital Asset Pricing Model (CAPM) is about expected return. If you find a formula for
expected returns that works well in the real markets, would you publish it? Before or after …

We report 2,510 answers from professors from 65 countries and 934 institutions. 1,791
respondents use betas, but 107 of them do not justify the betas they use. 97.3% of the …

Is It Ethical to Teach That Beta and CAPM Explain Something? by Pablo Fernandez :: SSRN
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This chapter presents the key principles of modern portfolio theory (MPT). After a brief review
of regression analysis it introduces the capital asset pricing model (CAPM) and its extension …

Rozwój rynku kapitałowego w Polsce obserwowany jest z niesłabnącym zainteresowaniem
zarówno przez uczestników rynku (-specjalistów i tych mniej zorientowanych), jak i przez …

This paper estimates the responsiveness of sectoral subindex returns to changes in the
domestic market portfolio, and compares predictions of nonsystematic risk using GARCH …

Beta is a widely accepted measure of systematic risk and is used by practitioners for capital
budgeting, portfolio formation, and performance evaluation. It is important to know whether …

One of the biggest problems in finance and especially risky assets management has
tentatively been that of determining the returns of a collection of risky assets. Financial return …

Objectives We aim to identify the modified beta coefficient for domestic companies, compare
the modified and traditional beta coefficients, conduct an empirical study to determine the …

This paper is a first approach to the study of beta coefficients using fuzzy regression. We
intend to improve the calculation of the sector and subsector betas of the Spanish Stock …