Stock market risk redefined: Negative returns linked to changing beta
The study found that using a different method to calculate CAPM beta can change how it relates to stock returns. By looking at future beta and removing unrealistic assumptions about market returns, the relationship becomes significant. Other factors like company size and book-to-market value don't seem to improve the accuracy of beta. This suggests that problems with applying CAPM may be why beta doesn't always predict stock returns well.