Frontiers in the Capital Asset Pricing Model: Theory and Practice

Dear Colleagues,

The Capital Asset Pricing Model is alive and well! Since its inception by Jack Treynor, William F. Sharpe, John Lintner, and Jan Mossin in the 1960s, it has fostered numerous extensions of Harry M. Markowitz’s modern portfolio theory. Last but not least, Merton Miller and Fischer Black famously contributed as well to its establishment as the foundational quantitative model in Securities’ risk management. Generations of researchers have been trained in its spirit, whilst Campbell, Lo and MacKinlay’s 1998 book on The Econometrics of Financial Markets has found its place on our bookshelves. As of 2020, the CAPM research field is highly active  with various innovations ranging from dynamic conditional beta estimates to high-frequency data inclusion. This call for papers from the Journal of Risk and Financial Management aims at gathering original research works, both from theory and practice, at the CAPM’s frontier of knowledge. An indicative list of topics to be covered by the Special Issue, but not limited to them, is listed below:

• Multifactor models;
• Contagion in financial markets;
• Market risk;
• Risk premia;
• Dynamic conditional beta;
• Time-varying betas;
• Realized volatility extensions;
• High-frequency betas;
• Securities pricing;
• Equity premium puzzle;
• Macroeconomic determinants;
• “Zero Lower Bound” Monetary Policy;
• Robust inference;
• Portfolio applications;
• Investment management;
• Index funds;
• Term Structure;
• Beta stability;
• Beta uncertainty;
• Market integration;
• ICAPM;
• Systematic risk;
• Investor sentiment;
• Extreme market conditions;