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Option-implied betas are a promising alternative to historical beta estimators, because they are inherently forward-looking and can incorporate new information immediately and fully. Recently, different implied beta estimators have been developed in previous literature, but very little is known...
Persistent link: https://www.econbiz.de/10010230656
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
We study the temporal behavior of the cross-sectional distribution of assets' market exposure, or betas, using a large panel of high-frequency returns. The asymptotic setup has the sampling frequency of returns increasing to infinity, while the time span of the data remains fixed, and the...
Persistent link: https://www.econbiz.de/10012598456
This essay seeks to rehabilitate the capital asset pricing model by splitting beta, the basic unit of systematic risk … volatility and correlation, as well as cash-flow and discount-rate effects. Splitting the atom of systematic risk answers some of …
Persistent link: https://www.econbiz.de/10012932305
We estimate conditional multifactor models over a large cross-section of stock returns matching 25 CAPM anomalies …
Persistent link: https://www.econbiz.de/10012937406
We propose a new measure of time-varying tail risk that is directly estimable from the cross section of returns. We … exploit firm-level price crashes every month to identify common fluctuations in tail risk across stocks. Our tail measure is … significantly correlated with tail risk measures extracted from S&P 500 index options, but is available for a longer sample since it …
Persistent link: https://www.econbiz.de/10013063059
Researchers and practitioners face many choices when estimating an asset's sensitivities toward risk factors, i …
Persistent link: https://www.econbiz.de/10012900674
We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the …
Persistent link: https://www.econbiz.de/10011751173
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
The CAPM is commonly used for an introduction of the equity cost in practice to calculate the corporate value, which is … composed by the risk-free rate, equity market return and each respective beta. However, there is a fundamental complication … between the risk, cost and return for the equity valuation. In the fixed income investment, the excess risk is basically …
Persistent link: https://www.econbiz.de/10012907181