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Does beta explain global equity market volatility : some empirical evidence
Kurach, Radoslaw - In: Contemporary economics 7 (2013) 2, pp. 55-66
this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity …
Persistent link: https://www.econbiz.de/10009770247
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Asset pricing with uncertain betas : a long-term perspective
Gollier, Christian - 2013
How should one evaluate investment projects whose CCAPM betas are uncertain? This question is particularly crucial for projects yielding long-lasting impacts on the economy, as is the case for example for many green investments. We define the notion of a certainty equivalent beta. We show that...
Persistent link: https://www.econbiz.de/10009691703
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Which beta is best? : on the information content of option-implied betas
Baule, Rainer; Korn, Olaf; Saßning, Sven - 2013
Option-implied betas are a promising alternative to historical beta estimators, because they are inherently forward-looking and can incorporate new information immediately and fully. Recently, different implied beta estimators have been developed in previous literature, but very little is known...
Persistent link: https://www.econbiz.de/10010230656
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Low-beta investment strategies
Korn, Olaf; Kuntz, Laura-Chloé - 2016 - This version: October 2016
This paper compares several investment strategies designed to exploit the low-beta anomaly. Although the notion of buying low-beta stocks and selling high-beta stocks is natural, a choice is necessary with respect to the relative weighting of high-beta stocks and low-beta stocks in the...
Persistent link: https://www.econbiz.de/10011553310
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Asymmetric beta comovement and systematic downside risk
Jondeau, Eric; Zhang, Qunzi - 2014
In this paper, we document evidence that downside betas tend to comove more than upside betas during a financial crisis, but upside betas tend to comove more than the downside betas during financial booms. We find that the asymmetry between Downside-Beta Comovement and Upside-Beta Comovement is...
Persistent link: https://www.econbiz.de/10010442899
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Calculating Betas
Velez-Pareja, Ignacio - 2011
This teaching note shows the relationship between levered and unlevered betas and the general formulation for the cost of equity. It also shows, step by step, the procedure to estimate betas from data found in the stock market.It shows well known procedures for estimating betas: correlation...
Persistent link: https://www.econbiz.de/10013128991
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Cálculo de Betas (Calculating Betas)
Velez-Pareja, Ignacio - 2012
Este trabajo muestra la relación entre las betas apalancadas y sin deuda y la formulación general para el costo del capital. También muestra, paso a paso, el procedimiento para calcular las betas a partir de los datos que se encuentran en el mercado de valores. Se muestran procedimientos...
Persistent link: https://www.econbiz.de/10013115159
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Agency-Based Asset Pricing and the Beta Anomaly
Blitz, David - 2012
I argue that delegated portfolio management can cause the equilibrium relation between CAPM beta and expected stock …
Persistent link: https://www.econbiz.de/10013105969
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Empirical Evidence Against CAPM : Relating Alphas and Returns to Betas
Agrawal, Mayur - 2012
One of the consequences of the Capital Asset Pricing Model (CAPM) is that the expected excess return of a financial … market. CAPM therefore implies that stocks with larger empirical estimates of beta will tend to produce larger returns. We …
Persistent link: https://www.econbiz.de/10013109213
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An Investigation of Beta and Downside Beta Based CAPM-Case Study of Karachi Stock Exchange
Tahir, Mohammad - 2013
Sharpe's (1964) Capital Asset Pricing Model (CAPM) assumes that the relationship between risk and return is positive …, linear and significant. However, it is not free from controversies and one of them advocates replacing CAPM's beta by … Hogan and Warren (1974) replace variance with semivariance in CAPM as the first official version of downside risk based CAPM …
Persistent link: https://www.econbiz.de/10013084203