Essays on systematic risk in financial markets

Abstract

This thesis analyzes three related topics in CAPM (Capital Asset Pricing Model) systemic risk (beta); estimation and evaluation of quarterly beta forecasting models, beta forecasting and applications with low, medium and high frequency stock returns at the monthly horizon, and evaluation of momentum returns with beta risk.

The first topic shows that recent developments in financial econometric have enhanced the precision in which we evaluate competing beta forecasting approaches. The second investigated topic is beta forecasting at the monthly level and its application in portfolio optimization. The third topic is on investigating the momentum effect in stock returns and the relationship with beta.