Forward-Looking Betas and the CAPM
Not stated
- Funding
- Self-Funded PhD Students Only
- Application deadline
- Year-round applications
About the project
About the Project All our projects, as well as the PhD itself at Nyenrode, are self-funded. Traditional models of asset pricing, such as the Capital Asset Pricing Model (CAPM), rely on historical data to estimate systematic risk (beta). Yet, these backward-looking estimates fail to capture how investors perceive risk in real time—especially in volatile or emerging markets. This PhD project will develop a forward-looking beta, derived from option-implied information, to create a dynamic and expectation-based version of the CAPM. By using data embedded in option prices—such as implied volatility, skewness, and higher moments—the research will measure how investors price risk before it materializes. The project will test whether these forward-looking betas improve the explanatory and predictive power of the CAPM across countries and market conditions, particularly during crises or regime shifts. The study will integrate theoretical asset pricing, econometric modelling, and cross-market data analysis to establish a forward-looking framework for cost-of-capital estimation. Ultimately, this research aims to bridge the gap between theory and practice, offering investors and policymakers a more responsive and empirically robust tool for assessing risk in global capital markets. Supervisor: Dr. Matthijs Breugem Duration: 5 years, depending on progress Investment: Year 1 € 4,250, Years 2 & 3 € 9,750 per year, Years 4 & 5 and possible subsequent years € 3,500 per year. Fees are subject to change, no rights can be derived from this information, visit our website listed below for the latest fee information. To apply This project is only available within our Self-Funded Part-Time PhD program. Application is only possible via our website https://www.nyenrode.nl/en/programs/p/phd-program-(part-time) , which also provides further details around the application package, which includes: Application essay form (our fillable application essay form) Title Proposed research question Research background & rationale Methodology Suggested supervisors at Nyenrode Personal motivation Certified copy of your Master's degree or equivalent Copy of corresponding transcript/grade list(s) from your Masters or equivalent Curriculum vitae Reference letter(s) Photo Note: All our projects, as well as the PhD itself at Nyenrode, are self-funded. Contact For further information, please visit our website https://www.nyenrode.nl/en/programs/p/phd-program-(part-time) or contact Nyenrode’s PhD School at phd@nyenrode.nl