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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 …

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

Which beta is best? : on the information content of option-implied betas

Baule, Rainer; Korn, Olaf; Saßning, Sven - 2013

-sectional information from all stocks in the market improves beta estimation significantly. We also find that option-implied betas generally …

Persistent link: https://www.econbiz.de/10010230656

Application of Chow, Cusum and rolling window in testing stability of systematic risk of companies listed in WIG-ESG in 2019-2022

Mikołajek-Gocejna, Magdalena - In: Journal of banking and financial economics 20 (2023), pp. 1-29

The aim of the article is to analyze the stability of beta coeffi cients of companies listed in WIG-ESG. There are many studies on the stability of companies' systematic risk, but the literature and research lack an analysis of the stability of the beta coeffi cient for ESG companies. We...

Persistent link: https://www.econbiz.de/10014515083

A Practitioner’s Guide to the CAPM : An Empirical Study

French, Jordan - 2018

The most popular method of calculating asset prices is the capital asset pricing model (CAPM). What is the appropriate … amount of years to use in the estimation and which variation of the capital asset pricing beta provides the best results …? This research looks at the out of sample forecasting capabilities of three popular CAPM ex-post constant beta models from …

Persistent link: https://www.econbiz.de/10012907773

The Effect of Exchange Rate Risk on the Conditional Relationship between Beta Risk and Return in International Equity Markets

Sandoval, Eduardo - 2010

The paper examines the effect of exchange rate risk on the conditional relationship between beta risk and return in international equity markets from January 1978 through September 2004. We use an extension of the model introduced by Pettengill, Sundaran, and Mathur (PSM Model, 1995) and adapted...

Persistent link: https://www.econbiz.de/10013148458

Time-Varying Exchange Rate Exposure Coefficients (Exposure Betas) : Evidence from Country Level Stock Returns

Jayasinghe, Prabhath - 2014

This paper uses time-varying second moments to investigate exchange rate exposure betas. Using a BEKK-GARCH(1,21)-M model, time-varying exchange rate exposure betas are obtained with explicit focus on the non-orthogonality between exchange rate changes and market returns. We look into certain...

Persistent link: https://www.econbiz.de/10013051472

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

Back to the future betas : empirical asset pricing of US and Southeast Asian markets

French, Jordan - In: International Journal of Financial Studies : open … 4 (2016) 3, pp. 1-13

. The crux of the traditional Capital Asset Pricing Model (CAPM) methodology is using historical data in the calculation of …

Persistent link: https://www.econbiz.de/10011526799

New Estimates of Time-Varying Currency Betas : A Trivariate BEKK Approach

Jayasinghe, Prabhath - 2014

This paper examines the conditional time-varying currency betas from ﬁve developed markets and four emerging markets. We employ a modiﬁed trivariate BEKK-GARCH-in-mean model of Engle and Kroner (1995) to estimate the time-varying conditional variance and covariance of returns of stock index,...

Persistent link: https://www.econbiz.de/10013050759