Showing 1 - 10 of 75
This paper proposes alternative specifications of the conditional CAPM with dynamic conditional beta and tests the models' performance in explaining the value premium for the period 1963-2011. The conditional alphas on the value-minus-growth portfolio are estimated to be economically and...
Persistent link: https://www.econbiz.de/10013065048
Persistent link: https://www.econbiz.de/10008666431
This paper investigates the significance of dynamic conditional beta in predicting the cross-sectional variation in expected stock returns. The results indicate that the time-varying conditional beta is alive and well in the cross-section of daily stock returns. Portfolio-level analyses and...
Persistent link: https://www.econbiz.de/10009710605
Persistent link: https://www.econbiz.de/10011772757
This paper presents evidence for a significantly positive link between the dynamic conditional beta and the cross-section of daily stock returns. An investment strategy that takes a long position in stocks in the highest conditional beta decile and a short position in stocks in the lowest...
Persistent link: https://www.econbiz.de/10013008033
This paper presents evidence for a significantly positive link between the dynamic conditional beta and the cross-section of daily stock returns. An investment strategy that takes a long position in stocks in the highest conditional beta decile and a short position in stocks in the lowest...
Persistent link: https://www.econbiz.de/10013008070
Persistent link: https://www.econbiz.de/10003628885
Persistent link: https://www.econbiz.de/10011623818
Motivated by the nature of asset pricing models, we investigate the cross-sectional relation between the market's ex-ante view of a stock's risk and the stock's ex-ante expected return. We demonstrate that an ex-ante measure of expected returns based on analyst price targets is highly related to...
Persistent link: https://www.econbiz.de/10013032028
We develop an ex-ante measure of expected stock returns based on analyst price targets. We then show that ex-ante measures of volatility, skewness, and kurtosis implied from stock option prices are positively related to the cross section of ex-ante expected stock returns. While expected returns...
Persistent link: https://www.econbiz.de/10012905215