The Institute for Financial Research (SIFR) is pleased to invite academics and practitioners to a conference on “Re-Thinking Beta” on August 22−23, 2013, at Clarion Hotel Sign Meeting, Östra Järnvägsgatan 33, in Stockholm.
The capital asset pricing model (CAPM) attributed to Sharpe, Lintner, and Mossin is the oldest and perhaps the most elegant of the asset pricing paradigms. Its intuitive elegance has allowed the model to survive newer and more sophisticated paradigms in the classroom, the courtroom and the boardroom.
Subsequent research discovered systematic deviations from the model that include returns to small firms, book-to-market, and momentum. Even if academics generally reject the model, they still debate if these empirical irregularities should be viewed as compensation for risk, or if they represent systematic mispricings.
In this conference, we revisit the CAPM by showcasing some of the frontier research seeking to understand these anomalies in a broader context.
Current research highlights the interplay between individual investors and institutions, incentives, and regulatory constraints that all may be important components for understanding the risk and return tradeoff. The conference will feature key-note presentations by leading scholars in the field. These presentations will center around recent empirical evidence and theoretical developments on the relation between expected returns, betas and volatility.