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Does beta explain global equity market volatility : some empirical evidence

Kurach, Radoslaw - In: Contemporary economics 7 (2013) 2, pp. 55-66

this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity …

Persistent link: https://www.econbiz.de/10009770247

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

Demand Shock, Speculative Beta, and Asset Prices : Evidence from the Shanghai-Hong Kong Stock Connect Program

Liu, Clark - 2020

Upon the announcement of the Shanghai-Hong Kong Stock Connect program, connected stocks in the Shanghai Stock Exchange experience significant value appreciation of 1.8% over a seven-day announcement window and significant increases in turnover and volatility compared with unconnected stocks with...

Persistent link: https://www.econbiz.de/10012855747

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

The Low Beta Anomaly : A Corporate Bond Investor's Perspective

Bektic, Demir - 2018

The low beta anomaly is well documented for equity markets. However, the existence of such a factor in corporate bond markets is less explored. I find that European corporate bonds of firms with a low equity beta have higher risk-adjusted returns, on average, than European corporate bonds of...

Persistent link: https://www.econbiz.de/10012934109

Bear Beta

Lu, Zhongjin - 2018

We test whether bear market risk - time-variation in the probability of future bear market states - is priced. We construct an Arrow-Debreu security that pays off in bear market states (AD Bear) from traded S&P 500 index options and use its returns to measure bear market risk. We find that bear...

Persistent link: https://www.econbiz.de/10012935219

An Investigation of Beta and Downside Beta Based CAPM-Case Study of Karachi Stock Exchange

Tahir, Mohammad - 2013

Sharpe's (1964) Capital Asset Pricing Model (CAPM) assumes that the relationship between risk and return is positive …, linear and significant. However, it is not free from controversies and one of them advocates replacing CAPM's beta by … Hogan and Warren (1974) replace variance with semivariance in CAPM as the first official version of downside risk based CAPM …

Persistent link: https://www.econbiz.de/10013084203

Which Beta is Best? On the Information Content of Option-Implied Betas

Baule, Rainer - 2014

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/10013061242

Investor Betas

Lewis, Ryan; Santosh, Shrihari - 2021

Investors’ return on their portfolios, as proxied by the market, is a theoretically appealing but empirically unsuccessful asset pricing factor. In practice, many institutional investors choose to deviate substantially from the market portfolio. We propose a simple model in the spirit of...

Persistent link: https://www.econbiz.de/10013249518

Estimating Illiquid Asset Class Alpha and Beta using Secondary Transaction Prices

Godwin, CFA, Alexander - 2022

This paper introduces a novel method for estimating the true economic alpha and market beta of illiquid asset classes using secondary transaction prices. Furthermore, this approach can be used to measure the degree of stale pricing in the reported returns of such asset classes. We apply this...

Persistent link: https://www.econbiz.de/10014361324