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Beta dispersion and market timing
Kuntz, Laura-Chloé - 2020
The beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the US...
Persistent link: https://www.econbiz.de/10012264452
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Continuous and jump betas : implications for portfolio diversification
Alexeev, Vitali; Dungey, Mardi H.; Yao, Wenying - In: Econometrics : open access journal 4 (2016) 2, pp. 1-15
Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and … beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 … discontinuous betas in portfolios of stocks as the number of holdings increase. We show that discontinuous risk dissipates faster …
Persistent link: https://www.econbiz.de/10011506397
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Asymmetric beta comovement and systematic downside risk
Jondeau, Eric; Zhang, Qunzi - 2014
"Systematic Downside Risk" (SDR) is defined to characterize this asymmetry in the comovement of betas. This indicator negatively …
Persistent link: https://www.econbiz.de/10010442899
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Analysing assets' performance inside a portfolio : from crossed beta to the net risk premium ratio
Bosch-Badia, Maria-Teresa; Montllor i Serrats, Joan; … - In: Cogent economics & finance 5 (2017) 1, pp. 1-23
portfolio weights. In order to fulfil this gap we answer three questions: which is the minimum risk premium that justifies … definition of crossed beta and the net risk premium ratio that stems from it. The latter fulfils the axioms of risk …/reward performance measures. The three answers to the questions are related to the net risk premium. The analysis in developed for the …
Persistent link: https://www.econbiz.de/10011877322
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Determinant of Stock Systematic Risks
Pasaribu, Rowland Bismark - 2017
risk on stocks. The analysis technique used is multiple linear regression. The results showed that the financial … performance did not significantly affect the systematic risk of the company's stock …
Persistent link: https://www.econbiz.de/10012942864
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Beta Coefficient as a Measure of Market Risk in Assessing Investment Attractiveness
Lukina, Yulia - 2023
theory, despite this, it is the CAPM beta that is the most common tool for integrating the risk factor into financial models …) is associated with a certain level of risk. An effective mechanism in the context of leveling investment risks can be an … cash flow valuation is one of the most common and reliable. The beta coefficient as a measure of market risk is of …
Persistent link: https://www.econbiz.de/10014254255
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Downside Risk in Multiperiod Tracking Error Models
Barro, Diana - 2012
expectations of usually risk-averse investors. The manager should also consider that the investor are seeking for a downside … protection when the benchmark performs poorly and thus they should integrate a form of downside risk control. We propose a …, the control of the downside risk is carried out through the presence of a floor benchmark with respect to which we can …
Persistent link: https://www.econbiz.de/10013103103
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The Conditional Capital Asset Pricing Model Revisited : Evidence from High-Frequency Betas
Hollstein, Fabian - 2019
When using high-frequency data, the conditional CAPM can explain asset-pricing anomalies. Using conditional betas based … as well as 3 out of 6 of the anomaly component excess returns. Using high-frequency betas, the conditional CAPM is able …
Persistent link: https://www.econbiz.de/10012892813
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Stability in the ISE : Betas for Stocks and Portfolios
Oran, Adil - 2010
In this paper we examine the characteristics and stability of individual stock and portfolio betas of stocks listed in the Istanbul Stock Exchange (ISE) using samples of 500 individual stocks and 500 portfolios of 10 stocks each. We begin with a methodology similar to the basic event study...
Persistent link: https://www.econbiz.de/10013147415
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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
studies on the stability of companies' systematic risk, but the literature and research lack an analysis of the stability of … companies' systematic risk. It cannot be ruled out (hypothesis) that the beta coeffi cient for companies listed in the WIG …
Persistent link: https://www.econbiz.de/10014515083