When shares are traded infrequently, beta estimates are often severely biased. This paper
reviews the problems introduced by infrequent trading, and presents a method for …

Accounting Betas, Systematic Operating Risk, and Financial Leverage: A Risk-Composition
Approach to the Determinants of Systemat Page 1 JOURNAL OF FINANCIAL AND …

This paper examines the relation between the variance of equity returns and several
explanatory variables. It is found that equity variances have a strong positive association …

Although the degrees of operating and financial leverage are discussed in most finance
textbooks, they are not linked explicitly to systematic risk and valuation. This paper develops …

Beta coefficients were initially defined by Sharpe [11] as the slope term in the simple linear
regression function where the rate of return on a market index was the independent variable …

This paper examines the inter-temporal stability of the relationships among the national
stock exchanges of the fourteen industrial countries from January 1959 to December 1978 …

The objective of this study is to explore the relationship among financial variables and
systematic risk. Eight financial variables are explored as determinants of systematic risk …

This study proposes a new threshold model that differentiates between the size and sign-
dependent responses of large-and small-cap exchange-traded funds (ETFs) to changes in …

During the past decade considerable empirical evidence has been accumulated suggesting
the stock market adjusts to the arrival of new information in an efficient manner. The studies …

The purpose of this paper is to give a comprehensive theoretical review devoted to asset
pricing models by emphasizing static and dynamic versions in the line with their empirical …