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Beta Risk in the Cross-Section of Equities

Boloor, Ali - 2019

We develop a continuous-time intertemporal CAPM model that allows for risky beta exposure, which we explicitly specify. In the model, the expected return on a stock depends on beta's co-movement with market variance and more generally with the stochastic discount factor and deviates from the...

Persistent link: https://www.econbiz.de/10012899147

Beta risk in the cross-section of equities

Boloorforoosh, Ali; Christoffersen, Peter F.; Fournier, … - 2017

We develop a conditional capital asset pricing model in continuous-time that allows for stochastic beta exposure. When beta co-moves with market variance and the stochastic discount factor (SDF), beta risk is priced, and the expected return on a stock deviates from the security market line. The...

Persistent link: https://www.econbiz.de/10011646407

Disagreement Beta

Gao, George - 2018

When two investors agree to disagree on market prospects and bet against each other, both expect to profit from their trades. Hence, an increase in disagreement leads to higher perceived trading profits and lower marginal utilities for both investors, so disagreement betas can affect...

Persistent link: https://www.econbiz.de/10012936009

Convergence of Expected Returns through Arbitrage : Beta Is Indifferent to Equity Valuation

Miyamoto, Kenji - 2018

actually the cost. This confusion has to dissipate with arbitrage at the market where the short selling is institutionalized or … arbitrage, which recurs to dissipate all the differences; i.e. the expected returns must be converged to the single rate and we … can ignore the beta as a component of the equity cost. The arbitrage results in valuation differences in the end, such as …

Persistent link: https://www.econbiz.de/10012907181

The Beta Heuristic from a Time/Frequency Perspective : A Wavelet Analysis of the Market Risk of the 10 S&P Sectors

Mcnevin, Bruce - 2016

We investigate the time-scale relationships between the ten S&P sectors and the market through the use of wavelet analysis, a methodology that has widespread acceptance for investigating multi-horizon properties of time series. Our analysis of the data highlights that variation in the pattern of...

Persistent link: https://www.econbiz.de/10012985074

Turning Alphas into Betas : Arbitrage and Endogenous Risk

Cho, Thummim - 2019

more arbitrage and covary correspondingly more with systematic shocks to arbitrage capital. I show that this prediction …, but also actively shape these risks through the act of arbitrage …

Persistent link: https://www.econbiz.de/10012865577

Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas

Grassi, Stefano; Violante, Francesco - 2021

Starting from the Cholesky-GARCH model, recently proposed by Darolles, Francq, and Laurent (2018), the paper introduces the Block-Cholesky GARCH (BC-GARCH). This new model adapts in a natural way to the asset pricing framework. After deriving conditions for stationarity, uniform invertibility...

Persistent link: https://www.econbiz.de/10013239060

Construction, Systematic Risk, and Stock-Level Investment Anomalies

Aretz, Kevin; Kagkadis, Anastasios - 2021

We offer evidence that the tendency of high real-investment stocks to underperform others is driven by firms physically constructing new capacity. The conditioning ability of construction work does not come from differences in investment intensity, financing sources, or profitability. Yet, it...

Persistent link: https://www.econbiz.de/10013239312

Risk and Beta Anatomy in the Hedge Fund Industry

Savona, Roberto - 2012

Using a Bayesian time‐varying beta model, we explore how the systematic risk exposures of hedge funds vary over time conditional on some exogenous variables that managers are assumed to use in changing their trading strategies. In such a setting, we impose a structure on fund returns, betas...

Persistent link: https://www.econbiz.de/10013116243

Which Beta is Best? On the Information Content of Option-Implied Betas

Baule, Rainer - 2014

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/10013061242