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Asymmetric beta comovement and systematic downside risk
Jondeau, Eric; Zhang, Qunzi - 2014
In this paper, we document evidence that downside betas tend to comove more than upside betas during a financial crisis, but upside betas tend to comove more than the downside betas during financial booms. We find that the asymmetry between Downside-Beta Comovement and Upside-Beta Comovement is...
Persistent link: https://www.econbiz.de/10010442899
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The Bottom-Up Beta of Momentum
Barroso, Pedro - 2016
A direct measure of the cyclicality of momentum at a given point in time, its bottom-up beta with respect to the market, forecasts both the returns and the risk of the strategy. Challenging a potential risk-based explanation, a highly cyclical momentum portfolio forecasts both higher risk and...
Persistent link: https://www.econbiz.de/10013007972
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Portable Beta And Total Portfolio Management
cavaglia, stefano; Fan, John Hua; Wang, Zhenping - 2022
Total Portfolio Management (TPM) typically focuses on maximizing the fund level reward-to-risk ratio across asset classes on a strategic and tactical basis. Recent evidence suggests that style exposures provide a material contribution to the returns reaped by asset owners. We show that the...
Persistent link: https://www.econbiz.de/10013405315
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Bear Beta or Speculative Beta?—Reconciling the Evidence on Downside Risk Premium
Wang, Tong - 2022
This paper develops a new approach to explain why risk factors constructed from option returns are priced in the stock market. We decompose an option- based factor into three main components and identify the one responsible for the beta-return relationship. Applying this method to the bear risk...
Persistent link: https://www.econbiz.de/10013305706
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Low-beta investment strategies
Korn, Olaf; Kuntz, Laura-Chloé - 2016 - This version: October 2016
This paper compares several investment strategies designed to exploit the low-beta anomaly. Although the notion of buying low-beta stocks and selling high-beta stocks is natural, a choice is necessary with respect to the relative weighting of high-beta stocks and low-beta stocks in the...
Persistent link: https://www.econbiz.de/10011553310
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Betas and Liquidity : Differences in Systematic Price Risk Due to Asymmetric Asset Liquidity and Correlated Funding Shocks
Umlauft, Roland - 2013
This research presents evidence for the existence of differences in asset beta risk in the liquidity cross-section of assets due to correlated trading. It is argued that due to differences in liquidity or cost, most trading activity is concentrated on the subset of liquid assets. In the presence...
Persistent link: https://www.econbiz.de/10013090386
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Can We Beat the Market with Beta? An Intuitive Test of the CAPM
Gómez-Bezares, Fernando - 2013
Based on a strict and intuitive methodology, the article proposes an empirical test of the CAPM for the main Spanish … market stocks. The idea is to replicate the behaviour of an investor purchasing undervalued shares according to the CAPM in … consistent with market efficiency and with the CAPM, as the stocks would quickly adapt to their rational value, according to the …
Persistent link: https://www.econbiz.de/10013092098
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Factor Investing with Smart Beta Indices
Blitz, David - 2016
The added value of smart beta indices is known to be explained by exposures to established factor premiums, but does that make these indices suitable for implementing a factor investing strategy? This paper finds that the amount of factor exposure provided by popular smart beta strategies...
Persistent link: https://www.econbiz.de/10012993378
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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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Low-beta strategies
Korn, Olaf; Kuntz, Laura-Chloé - 2017 - [vers. 05/2017]
This paper analyzes trading strategies designed to exploit the low-beta anomaly. Although the notion of buying low-beta stocks and selling high-beta stocks is natural, a choice is necessary with respect to the relative weighting of high-beta stocks and low-beta stocks in the portfolio. Our...
Persistent link: https://www.econbiz.de/10011648480