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In the first three decades of CRSP data, value stocks have higher betas than growth stocks.Later on, the ranking is reversed and the gap in beta widens. What makes growth strategiesnowadays bear more market risk than value strategies? What are the causes of the reversalin the ranking of betas?...
Persistent link: https://www.econbiz.de/10005868660
jointbehavior of credit spreads, option implied volatilities, and stock returns. Beliefs heterogeneity influences the pricing … kernelin a way that supports more realistic credit spreads and a co–movement with stock return volatility and option …
Persistent link: https://www.econbiz.de/10005868970