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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
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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
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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
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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
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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
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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
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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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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
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Bear Beta
Lu, Zhongjin - 2018
We test whether bear market risk - time-variation in the probability of future bear market states - is priced. We construct an Arrow-Debreu security that pays off in bear market states (AD Bear) from traded S&P 500 index options and use its returns to measure bear market risk. We find that bear...
Persistent link: https://www.econbiz.de/10012935219
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Using Equity, Index and Commodity Options to Obtain Forward-Looking Measures of Equity and Commodity Betas, and Idiosyncratic Variance
Ronn, Ehud I. - 2020
This paper presents a parsimonious and theoretically-sound basis for extracting forward-looking measures of equity and commodity betas, and idiosyncratic variance.Defining forward-looking betas and idiosyncratic variance as perturbations of historical estimates, we use the market prices of...
Persistent link: https://www.econbiz.de/10012824859