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Continuous and jump betas : implications for portfolio diversification

Alexeev, Vitali; Dungey, Mardi H.; Yao, Wenying - In: Econometrics : open access journal 4 (2016) 2, pp. 1-15

Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 generally exceed the corresponding continuous betas. We...

Persistent link: https://www.econbiz.de/10011506397

Inflation and infrastructure sector returns in emerging markets : panel ARDL approach

Magweva, Rabson; Sibanda, Mabutho - In: Cogent economics & finance 8 (2020) 1, pp. 1-17

This study evaluated the relationship between inflation and infrastructure sector stock returns in emerging markets in the long and short run. It employed a panel autoregressive distributed lag (PARDL) model applying the mean group (MG), pooled mean group (PMG) and dynamic fixed effects (DFE)...

Persistent link: https://www.econbiz.de/10012219374

Convergence of Expected Returns through Arbitrage : Beta Is Indifferent to Equity Valuation

Miyamoto, Kenji - 2018

The CAPM is commonly used for an introduction of the equity cost in practice to calculate the corporate value, which is … hand, the volatility is one of the compositions of equity cost, which is indifferent to the equity return. Theoretically …

Persistent link: https://www.econbiz.de/10012907181

Implied Equity Premium and Market Beta

Chow, Victor; Gu, Jiahao; Wang, Zhan - 2021

* that mimics realized outcomes on the implied market index adjusted for volatility-asymmetry …

Persistent link: https://www.econbiz.de/10013242103

Black Swans, Beta, Risk, and Return

Estrada, Javier - 2010

Beta has been a controversial measure of risk ever since it was proposed almost half a century ago, and we do not pretend to settle with this article what decades of research has not. We do, however, take advantage of the recent trend of investing in countries and industries through index funds...

Persistent link: https://www.econbiz.de/10013137032

Time Dependence of CAPM Betas on the Choice of Interval Frequency and Return Timeframes : Is There an Optimum?

Agrrawal, Pankaj; Gilbert, Faye; Harkins, J - 2022

The traditional CAPM beta is almost exclusively calculated over a return period that spans a window length of 60-months …. We identify that daily CAPM betas are best for predicting subsequent period daily returns and that weekly CAPM betas are … interval-based CAPM betas should be calculated for estimating the systematic risk embedded in diversified portfolios …

Persistent link: https://www.econbiz.de/10014235953

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

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

This paper is focused on enlarging the performance inside a portfolio that provides the Treynor ratio by relating portfolio weights with performance indicators. Intuition suggests that the higher the weight of an asset, the higher should be its expected performance. These weights, and the...

Persistent link: https://www.econbiz.de/10011877322

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

A Lottery Demand-Based Explanation of the Beta Anomaly

Bali, Turan G. - 2016

The low (high) abnormal returns of stocks with high (low) beta - the beta anomaly - is one of the most persistent anomalies in empirical asset pricing research. This paper demonstrates that investors' demand for lottery-like stocks is an important driver of the beta anomaly. The beta anomaly is...

Persistent link: https://www.econbiz.de/10013006629