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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 …? This research looks at the out of sample forecasting capabilities of three popular CAPM ex-post constant beta models from … the pricing, contrary to popular studies that use five to ten years of historical data. There are many different CAPM …
Persistent link: https://www.econbiz.de/10012907773
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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
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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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Discount Factor in Analyst’s Notes in Russian Capital Market (37 Analytical Teams) : Testing Predicted Beta with Liquidity Adjustment
Teplova, Tamara - 2012
justify the DCF construction on Russian capital market use CAPM. The present paper assesses the CAPM predicted beta …
Persistent link: https://www.econbiz.de/10013113257
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CAPM, Components of Beta and the Cross Section of Expected Returns
Cenesizoglu, Tolga - 2019
This paper demonstrates that a conditional version of the Capital Asset Pricing Model (CAPM) explains the cross section …
Persistent link: https://www.econbiz.de/10012905563
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Roughing up Beta : Continuous versus Discontinuous Betas and the Cross Section of Expected Stock Returns
Bollerslev, Tim - 2016
We investigate how individual equity prices respond to continuous and jumpy market price moves and how these different market price risks, or betas, are priced in the cross section of expected stock returns. Based on a novel high-frequency data set of almost one thousand stocks over two decades,...
Persistent link: https://www.econbiz.de/10013005591
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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
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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
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How to estimate beta?
Hollstein, Fabian; Prokopczuk, Marcel; Wese Simen, Chardin - 2017
Researchers and practitioners face many choices when estimating an asset's sensitivities toward risk factors, i.e., betas. We study the effect of different data sampling frequencies, forecast adjustments, and model combinations for beta estimation. Using the entire U.S. stock universe and a...
Persistent link: https://www.econbiz.de/10011751164
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On empirical challenges in forecasting market betas in crypto markets
Šíla, Jan; Mark, Michael; Krištoufek, Ladislav - 2022
This paper investigates the predictability of market betas for crypto assets. The market beta is the optimal weight of a short position in a simple two-asset portfolio hedging the market risk. Investors are therefore keen to forecast the market beta accurately. Estimating the market beta is a...
Persistent link: https://www.econbiz.de/10013332932