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Low-beta investment strategies
Korn, Olaf; Kuntz, Laura-Chloé - 2016 - This version: October 2016
very important for the risk-return characteristics of the resulting portfolios and their sensitivities to common risk … design elements of low-beta strategies too. If smaller firms are excluded, risk-adjusted returns of low-beta strategies can …
Persistent link: https://www.econbiz.de/10011553310
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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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Stock profiling using time-frequency-varying systematic risk measure
Mestre, Roman - In: Financial innovation : FIN 9 (2023) 1, pp. 1-29
(CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk … time-frequency CAPM to perform systematic risk analysis and portfolio allocation. … characteristics. We use a daily panel of French stocks from 2012 to 2022. Results show that varying systematic risk varies in time and …
Persistent link: https://www.econbiz.de/10014289044
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Positive alpha and negative beta (a strategy for counteracting systematic risk)
Noddeboe, Erik Sonne; Faergemann, Hans Christian - In: International Journal of Financial Studies : open … 3 (2015) 4, pp. 431-450
Undiversifiable (or systematic risk) has long been an enemy of investors. Many countercyclical strategies have been … technique, founded on the premise of physiological bias and risk-aversion. We take a behavioral discussion in order to … negative betas to the S&P 500, while exhibiting similar risk-adjusted excess returns over both bull and bear markets. Further …
Persistent link: https://www.econbiz.de/10011408803
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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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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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Why are high exposures to factor betas unlikely to deliver anticipated returns?
Brightman, Chris; Henslee, Forrest; Kalesnik, Vitali; … - 2021
By choosing investment strategies that intentionally create exposure to factor betas, investors may be obtaining uncompensated risks. We show across a wide variety of factors and geographical markets that factors constructed from fundamental characteristics have earned high returns, whereas...
Persistent link: https://www.econbiz.de/10012585863
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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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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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Asset pricing and consumption-portfolio choice with recursive utility and unspanned risk
Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas - 2014 - First version: March 6, 2014; this version: June 1, 2014
We study consumption-portfolio and asset pricing frameworks with recursive preferences and unspanned risk. We show that … with recursive preferences and unspanned risk. Our setting is not restricted to affine asset price dynamics. Numerical …
Persistent link: https://www.econbiz.de/10010359861