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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

An Analysis on the Predictability of CAPM Beta for Momentum Returns

Cenesizoglu, Tolga - 2016

This paper demonstrates that the forecasted CAPM beta of momentum portfolios explains a large portion of the return …

Persistent link: https://www.econbiz.de/10013005838

How to estimate beta?

Hollstein, Fabian; Prokopczuk, Marcel; Wese Simen, Chardin - 2017

estimation. Using the entire U.S. stock universe and a sample period of more than 50 years, we find that a historical estimator …

Persistent link: https://www.econbiz.de/10011751164

Estimating Beta : Forecast Adjustments and the Impact of Stock Characteristics for a Broad Cross-Section

Hollstein, Fabian - 2019

Researchers and practitioners face many choices when estimating an asset's sensitivities toward risk factors, i.e., betas. Using the entire U.S. stock universe and a sample period of more than 50 years, we find that a historical estimator based on daily return data with an exponential weighting...

Persistent link: https://www.econbiz.de/10012900674

International Stock Return Predictability : The Role of U.S. Volatility Risk

Deng, Yizhe; Jiang, Fuwei; Wang, Yunqi; Zhou, Ti - 2022

This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and significantly predicts future stock market returns of the...

Persistent link: https://www.econbiz.de/10014236052

Forecasting Market Index Volatility Using Ross-Recovered Distributions

Gagnon, Marie-Hélène - 2020

Ross (2015) shows that options data can reveal the market's true expectations. Adapting this approach to index options (S&P, FTSE, CAC, SMI and DAX), we separate option-implied volatility into Ross-recovered true expected volatility and a risk preference factor. We investigate whether these...

Persistent link: https://www.econbiz.de/10012851207

The memory of beta factors

Becker, Janis; Hollstein, Fabian; Prokopczuk, Marcel; … - 2019

Researchers and practitioners employ a variety of time-series processes to forecast betas, using either short-memory models or implicitly imposing infinite memory. We find that both approaches are inadequate: beta factors show consistent long-memory properties. For the vast majority of stocks,...

Persistent link: https://www.econbiz.de/10012105362

Disagreement in the Equity Options Market and Stock Returns

Golez, Benjamin - 2020

We estimate investor disagreement from synthetic long and short stock trades in the equity options market. We show that high disagreement predicts low stock returns after positive earnings surprises and high stock returns after negative earnings surprises. The negative effect is stronger for...

Persistent link: https://www.econbiz.de/10012848017

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

Predicting Bond Betas Using Macro-Finance Variables

Aslanidis, Nektarios - 2018

We predict bond betas conditioning on a number of macro-finance variables. We explore differences across long-term government bonds, investment grade corporate bonds, and high yield corporate bonds. We conduct out-of-sample forecasting using the new approach of combining predictor variables...

Persistent link: https://www.econbiz.de/10012934945