Risk and Return: Consumption Beta Versus Market Beta

Risk and Return : Consumption Beta Versus Market Beta

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Risk, Return and Market Condition: From a Three-Beta to a Functional-Beta Capital Asset Pricing Model

Beta thromboglobulin and alcohol consumption.

Beta Thromboglobulin plasma levels were measured in three groups of hospital patients; a control group (n = 13) of non-drinkers, and test groups of patients who from their medical history regularly consumed either moderate amounts (80-200G/24 hours n = 31) or large amounts (200G/24 hours n = 10) of alcohol. Significant differences were detected between the control group, and both groups of drin...

the intertemporal relationship between risk and return with dynamic conditional correlation and time -varying beta

the current paper examines intertemporal capital asset pricing model in iran’s stock market. dynamic conditional correlation was used to estimate conditional variance and covariance portfolios with market returns. time varying beta is estimated by kalman filter method. based on the obtained results, risk aversion coefficients were between 0.013 and 0.28 and the average was 0.20. significance of...

Market Risk Beta Estimation using Adaptive Kalman Filter

Market risk of an asset or portfolio is recognized through beta in Capital Asset Pricing Model (CAPM). Traditional estimation techniques emerge poor results when beta in CAPM assumed to be dynamic and follows auto regressive model. Kalman Filter (KF) can optimally estimate dynamic beta where measurement noise covariance and state noise covariance are assumed to be known in a state-space framewo...